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Published in:
Notions of Mathematical Finance Read chapter Read first chapter

2013 | OriginalPaper | Chapter

14. Multidimensional Lévy Models

Authors : Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter

Published in: Computational Methods for Quantitative Finance

Publisher: Springer Berlin Heidelberg

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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.

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previous chapter Multidimensional Diffusion Models
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Metadata
Title
Multidimensional Lévy Models
Authors
Norbert Hilber
Oleg Reichmann
Christoph Schwab
Christoph Winter
Copyright Year
2013
Publisher
Springer Berlin Heidelberg
Book
Computational Methods for Quantitative Finance

Print ISBN: 978-3-642-35400-7

Electronic ISBN: 978-3-642-35401-4

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-3-642-35401-4_14

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