More documents from Schoutens, Wim; Luciano, Elisa
More documents from Quantitative Finance

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

A Multivariate Jump-Driven Financial Asset Model

[journal article]

Schoutens, Wim; Luciano, Elisa

fulltextDownloadDownload full text

(823 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
Abstract We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian world, we introduce jumps and other deviations from normality, including non-Gaussian dependence. We use a stochastic time-change technique and provide the details for a Gamma change. The main feature of the model is the fact that - opposite to other, non jointly Gaussian settings - its risk neutral dependence can be calibrated from univariate derivative prices, providing a surprisingly good fit.
Classification Basic Research, General Concepts and History of Economics; Economic Statistics, Econometrics, Business Informatics
Method theory application
Free Keywords Leacutevy processes; Multivariate asset modelling; Copulas; Risk neutral dependence
Document language English
Publication Year 2006
Page/Pages p. 385-402
Journal Quantitative Finance, 6 (2006) 5
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)