Torino, Turin - Piedmont 10100
Italy
Politecnico of Turin
Lévy processes, multivariate subordinators, dependence, multivariate asset
marked Poisson processes, subordinated Lévy processes, multivariate Poisson random measure, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process
Multivariate normal mean variance mixtures, multivariate generalized hyperbolic distributions, Lévy processes, multivariate subordinators
Lévy processes, multivariate subordinators, dependence (association, correlation), multivariate asset modelling, multivariate time changed processes
Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes
Exchangeable Bernoulli distribution; risk measures; model risk; credit risk; default risk
keywords: Bernoulli mixture model, credit risk, default risk, ML methods, Logistic Regression, credit cards
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Lévy processes, multivariate subordinators, multivariate asset modeling, multivariate variance gamma (VG) process, multivariate normal inverse Gaussian (NIG) process, multibarrier reverse convertibles (MBRCs).
Lévy processes, multivariate subordinators, dependence, multivariate asset modelling
