Dependence Structure for Levy Processes and Its Application in Finance

Dependence Structure for Levy Processes and Its Application in Finance

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In this paper, we introduce DSPMD, discretely sampled process with pre-specified marginals and pre-specified dependence, and SRLMD, series representation for Levy process with pre-specified marginals and pre-specified dependence.First and foremost I would like to thank my advisor, Professor Dilip Madan for his inspiring guidance in the world of mathematical finance. To me, he is ... It was a very valuable internship both for my career and for my research at school. Withoutanbsp;...


Title:Dependence Structure for Levy Processes and Its Application in Finance
Author:
Publisher:ProQuest - 2008
ISBN-13:

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