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q-fin.CP2020
A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
Using the concept of self-decomposable subordinators introduced in Gardini et al. [11], we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays.…
q-fin.PR2020★ 1 cited
Correlating Lévy processes with Self-Decomposability: Applications to Energy Markets
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
Based on the concept of self-decomposability, we extend some recent multivariate Lévy models built using multivariate subordination with the aim of capturing situations in which a…