Multidimensional Lévy Models

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 14 in Computational Methods for Quantitative Finance, 2013, pp 197-228 from Springer

Abstract: Abstract In this chapter, we extend the one-dimensional Lévy models described in Chap. 10 to multidimensional Lévy models. Since the law of a Lévy process is time-homogeneous, it is completely characterized by its characteristic triplet. The drift has no effect on the dependence structure between the components. The dependence structure of the Brownian motion part of the Lévy process is given by its covariance matrix. For purposes of financial modeling, it remains to specify a parametric dependence structure of the purely discontinuous part which can be done by using Lévy copulas.

Keywords: Brownian Motion; Option Price; Compound Poisson Process; Barrier Option; Gamma Process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_14

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DOI: 10.1007/978-3-642-35401-4_14

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