Towards a Δ-Gamma Sato multivariate model University of Antwerp
The increased trading in multi-name financial products has paved the way for the use of multivariate models that are at once computationally tractable and flexible enough to mimic the stylized facts of asset log-returns and of their dependence structure. In this paper we propose a new multivariate Lévy model, the so-called Δ-Gamma model, where the log-price gains and losses are modeled by separate multivariate Gamma processes, each containing a ...