Multivariate subordinated Levy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure

中文翻译：

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关于多元从属 Lévy 过程的非线性相关性

多元从属 Levy 过程在金融领域被广泛用于对多元资产回报进行建模。我们建议通过这些过程的多元累积量来利用金融资产之间的非线性相关性，为此我们通过使用多指数广义贝尔多项式提供了一个封闭式公式。使用多元累积量，我们进行敏感性分析，以研究非线性相关性作为驱动相关性结构的模型参数的函数