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A Multivariate Time-Changed Lévy Model for Financial Applications

Patrizia Semeraro

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: The purpose of this paper is to define a bivariate L´evy process by subordination of a Brownian motion. In particular we investigate a generalization of the bivariate Variance Gamma process proposed in Luciano and Schoutens [8] as a price process. Our main contribution here is to introduce a bivariate subordinator with correlated Gamma margins. We characterize the process and study its dependence structure. At the end wealso propose an exponential Lévy price model based on our process.

Keywords: Levy processes; multivariate subordinators; dependence; multivariate asset modelling. (search for similar items in EconPapers)
Pages: 27 pages
Date: 2006-07
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