40 citations · 41 across the 4 of their papers we have counts for
6 papers
Calibration for Weak Variance-Alpha-Gamma Processes
Boris Buchmann, Kevin W. Lu, Dilip B. Madan
The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma su…
Selfdecomposability of Weak Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin W. Lu, Dilip B. Madan
Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a res…
Weak Subordination of Multivariate Lévy Processes and Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin Lu, Dilip B. Madan
Subordinating a multivariate Lévy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Lévy process, provided the subordinator an…
Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
Dilip Madan, Martijn Pistorius, Mitja Stadje
In this paper we present a weak approximation scheme for BSDEs driven by a Wiener process and an (in)finite activity Poisson random measure with drivers that are general Lipschitz…
Pricing Equity Default Swaps under an approximation to the CGMY Lé% vy Model
Soeren Asmussen, Dilip Madan, Martijn Pistorius
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first pas…
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
Dilip Madan, Marc Yor
We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable subordin…