Multidimensional Lévy Models

  • Norbert Hilber
  • Oleg Reichmann
  • Christoph Schwab
  • Christoph Winter
Part of the Springer Finance book series (FINANCE)


In this chapter, we extend the one-dimensional Lévy models described in Chap.  10 to multidimensional Lévy models. Since the law of a Lévy process is time-homogeneous, it is completely characterized by its characteristic triplet. The drift has no effect on the dependence structure between the components. The dependence structure of the Brownian motion part of the Lévy process is given by its covariance matrix. For purposes of financial modeling, it remains to specify a parametric dependence structure of the purely discontinuous part which can be done by using Lévy copulas.


Brownian Motion Option Price Compound Poisson Process Barrier Option Gamma Process 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Norbert Hilber
    • 1
  • Oleg Reichmann
    • 2
  • Christoph Schwab
    • 2
  • Christoph Winter
    • 3
  1. 1.Dept. for Banking, Finance, Insurance, School of Management and LawZurich University of Applied SciencesWinterthurSwitzerland
  2. 2.Seminar for Applied MathematicsSwiss Federal Institute of Technology (ETH)ZurichSwitzerland
  3. 3.Allianz Deutschland AGMunichGermany

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