Matches in SemOpenAlex for { <https://semopenalex.org/work/W2149661431> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2149661431 endingPage "18" @default.
- W2149661431 startingPage "1" @default.
- W2149661431 abstract "In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process. Our main contribution here is to introduce a multivariate subordinator with gamma margins. We investigate the process, determine its Lévy triplet and analyze its dependence structure. At the end we propose an exponential Lévy price model." @default.
- W2149661431 created "2016-06-24" @default.
- W2149661431 creator A5049209793 @default.
- W2149661431 date "2008-02-01" @default.
- W2149661431 modified "2023-10-02" @default.
- W2149661431 title "A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS" @default.
- W2149661431 cites W1980519218 @default.
- W2149661431 cites W2093045275 @default.
- W2149661431 cites W2100190417 @default.
- W2149661431 cites W3124378112 @default.
- W2149661431 cites W4245983123 @default.
- W2149661431 cites W4247340585 @default.
- W2149661431 doi "https://doi.org/10.1142/s0219024908004701" @default.
- W2149661431 hasPublicationYear "2008" @default.
- W2149661431 type Work @default.
- W2149661431 sameAs 2149661431 @default.
- W2149661431 citedByCount "96" @default.
- W2149661431 countsByYear W21496614312012 @default.
- W2149661431 countsByYear W21496614312013 @default.
- W2149661431 countsByYear W21496614312014 @default.
- W2149661431 countsByYear W21496614312015 @default.
- W2149661431 countsByYear W21496614312016 @default.
- W2149661431 countsByYear W21496614312017 @default.
- W2149661431 countsByYear W21496614312018 @default.
- W2149661431 countsByYear W21496614312019 @default.
- W2149661431 countsByYear W21496614312020 @default.
- W2149661431 countsByYear W21496614312021 @default.
- W2149661431 countsByYear W21496614312022 @default.
- W2149661431 countsByYear W21496614312023 @default.
- W2149661431 crossrefType "journal-article" @default.
- W2149661431 hasAuthorship W2149661431A5049209793 @default.
- W2149661431 hasConcept C105795698 @default.
- W2149661431 hasConcept C112401455 @default.
- W2149661431 hasConcept C121955636 @default.
- W2149661431 hasConcept C134306372 @default.
- W2149661431 hasConcept C149782125 @default.
- W2149661431 hasConcept C161584116 @default.
- W2149661431 hasConcept C162324750 @default.
- W2149661431 hasConcept C177148314 @default.
- W2149661431 hasConcept C192424360 @default.
- W2149661431 hasConcept C196083921 @default.
- W2149661431 hasConcept C2781362121 @default.
- W2149661431 hasConcept C28826006 @default.
- W2149661431 hasConcept C33923547 @default.
- W2149661431 hasConcept C38180746 @default.
- W2149661431 hasConcept C64341305 @default.
- W2149661431 hasConcept C79495835 @default.
- W2149661431 hasConcept C88757350 @default.
- W2149661431 hasConceptScore W2149661431C105795698 @default.
- W2149661431 hasConceptScore W2149661431C112401455 @default.
- W2149661431 hasConceptScore W2149661431C121955636 @default.
- W2149661431 hasConceptScore W2149661431C134306372 @default.
- W2149661431 hasConceptScore W2149661431C149782125 @default.
- W2149661431 hasConceptScore W2149661431C161584116 @default.
- W2149661431 hasConceptScore W2149661431C162324750 @default.
- W2149661431 hasConceptScore W2149661431C177148314 @default.
- W2149661431 hasConceptScore W2149661431C192424360 @default.
- W2149661431 hasConceptScore W2149661431C196083921 @default.
- W2149661431 hasConceptScore W2149661431C2781362121 @default.
- W2149661431 hasConceptScore W2149661431C28826006 @default.
- W2149661431 hasConceptScore W2149661431C33923547 @default.
- W2149661431 hasConceptScore W2149661431C38180746 @default.
- W2149661431 hasConceptScore W2149661431C64341305 @default.
- W2149661431 hasConceptScore W2149661431C79495835 @default.
- W2149661431 hasConceptScore W2149661431C88757350 @default.
- W2149661431 hasIssue "01" @default.
- W2149661431 hasLocation W21496614311 @default.
- W2149661431 hasOpenAccess W2149661431 @default.
- W2149661431 hasPrimaryLocation W21496614311 @default.
- W2149661431 hasRelatedWork W106825018 @default.
- W2149661431 hasRelatedWork W1567155531 @default.
- W2149661431 hasRelatedWork W1996890436 @default.
- W2149661431 hasRelatedWork W2019930675 @default.
- W2149661431 hasRelatedWork W2029225095 @default.
- W2149661431 hasRelatedWork W2149661431 @default.
- W2149661431 hasRelatedWork W2263152475 @default.
- W2149661431 hasRelatedWork W2345666082 @default.
- W2149661431 hasRelatedWork W3122021489 @default.
- W2149661431 hasRelatedWork W3122621839 @default.
- W2149661431 hasVolume "11" @default.
- W2149661431 isParatext "false" @default.
- W2149661431 isRetracted "false" @default.
- W2149661431 magId "2149661431" @default.
- W2149661431 workType "article" @default.