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@article{ Schoutens2006,
 title = {A Multivariate Jump-Driven Financial Asset Model},
 author = {Schoutens, Wim and Luciano, Elisa},
 journal = {Quantitative Finance},
 number = {5},
 pages = {385-402},
 volume = {6},
 year = {2006},
 doi = {https://doi.org/10.1080/14697680600806275},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-220857},
 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.},
}