The author would like to thank Dimitrina Dimitrova for her invaluable help in developing the Mathematica implementation and the numerical validation of the LG and VG models of Section 4 and for carefully reading the draft of the paper which lead to numerous corrections and notational improvements. The author is also indebted to Zvetan Ignatov for his constructive comments and suggestions, which helped improve the paper.
LÉVY PROCESSES INDUCED BY DIRICHLET (B-)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS
Article first published online: 13 FEB 2012
© 2012 Wiley Periodicals, Inc.
Volume 23, Issue 2, pages 217–247, April 2013
How to Cite
Kaishev, . V. K. (2013), LÉVY PROCESSES INDUCED BY DIRICHLET (B-)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS. Mathematical Finance, 23: 217–247. doi: 10.1111/j.1467-9965.2011.00504.x
Earlier versions of this paper have been presented at the QMF 2006 conference in Sydney (see Kaishev 2006a) and also at the King’s College Financial Mathematics and Applied Probability Seminars, December 2009. The author extends his thanks to the participants of these events, for their useful feedback.
- Issue published online: 5 MAR 2013
- Article first published online: 13 FEB 2012
- Manuscript received May 2010; final revision received April 2011.
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