2 papers
q-fin.PR2015
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
Damiano Brigo, Camilla Pisani, Francesco Rapisarda
The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form f…
q-fin.PR2013
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo, Francesco Rapisarda, Abir Sridi
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a…