The multivariate Variance Gamma model: basket option pricing and calibration

On an optimization problem related to static super-replicating strategies

(2015) Xinliang Chen et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

A framework for robust measurement of implied correlation

(2014) Daniël Linders et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Ordered random vectors and equality in distribution

(2013) Ka Chun Cheung et al.   Scandinavian Actuarial Journal

EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS

(2012) Rama Cont et al.   MATHEMATICAL FINANCE

Coupling index and stocks

(2010) Benjamin Jourdain et al.   QUANTITATIVE FINANCE

Multivariate time changes for Lévy asset models: Characterization and calibration

(2009) Elisa Luciano et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS