Journal article | Zeitschriftenartikel
A Multivariate Jump-Driven Financial Asset Model
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.
- Sprache
-
Englisch
- Umfang
-
Seite(n): 385-402
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 6(5)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schoutens, Wim
Luciano, Elisa
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigtes Königreich
- (wann)
-
2006
- DOI
- URN
-
urn:nbn:de:0168-ssoar-220857
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Schoutens, Wim
- Luciano, Elisa
Entstanden
- 2006
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