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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.}, }