Dependent jump processes with coupled levy measures
Abstract: I present a simple method for the modelling and simulation of dependent positive jump processes through a series representation. Each constituent process is represented by a series whose terms are equal to a transformation of the jump times of a standard Poisson process. The transformations are given by the inverses of the respective marginal Levy tail mass integral functions. The dependence between the various consituent processes is given by a probalistic copula for the inter-arrival times of the various standard Poisson processes.
Published on | 5th September 2011 |
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Authors | Naoufel El-Bachir |
Series Reference | 2008-03 |