论文标题
关于多元下属莱维过程的非线性依赖性
On non-linear dependence of multivariate subordinated Lévy processes
论文作者
论文摘要
多元次级Lévy流程广泛用于对多元资产回报进行建模。我们建议通过这些过程的多元累积物在金融资产之间利用非线性依赖性，为此我们通过使用多指数概括的铃铛多项式提供了封闭的表单公式。使用多变量累积物，我们执行灵敏度分析，以研究非线性依赖性作为模型参数驱动依赖性结构的函数的函数
Multivariate subordinated Lévy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure
