Dependent jump processes with coupled Lévy measures

Naoufel El-Bachir ()
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Naoufel El-Bachir: ICMA Centre, University of Reading

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: I present a simple method for the modeling and simulation of dependent positive jump processes through a series representation. Each constituent process is represented by a series whose terms are equal to a transformation of the jump times of a standard Poisson process. The transformations are given by the inverses of the respective marginal Lévy tail mass integral functions. The dependence between the various constituent processes is given by a probabilistic copula for the inter-arrival times of the various standard Poisson processes.

Keywords: Lévy copulas; Copulas; Lévy processes; Monte-Carlo simulations (search for similar items in EconPapers)
Pages: 7 pages
Date: 2008-05
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