The multivariate mixture dynamics model: shifted dynamics and correlation skew
The multivariate mixture dynamics model: shifted dynamics and correlation skew
About this item
Full title
Author / Creator
Publisher
New York: Springer US
Journal title
Language
English
Formats
Publication information
Publisher
New York: Springer US
Subjects
More information
Scope and Contents
Contents
The multi variate mixture dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula function are available. It also allows for complete decorrelation between assets and instantaneous vari...
Alternative Titles
Full title
The multivariate mixture dynamics model: shifted dynamics and correlation skew
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2508022632
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2508022632
Other Identifiers
ISSN
0254-5330
E-ISSN
1572-9338
DOI
10.1007/s10479-019-03239-6
