SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
15 references·16 citing·40 second hop
The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)The Generalized Hyperbolic Model: Financi…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …Coherent Measures of Risk (1999)Coherent Measures of RiskNew Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Die Betriebswirtschaft (1953)Die BetriebswirtschaftMULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK (2009)MULTISCALE LOCAL CHANGE POINT…Multiscale local change point detection with applications to value-at-risk (2009)Multiscale local change point…On the duality principle in option pricing: semimartingale setting (2008)On the duality principle in o…Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Chapter 2 Jump-Diffusion Mode…Ambit Processes; with Applications to Turbulence and Tumour Growth (2007)Ambit Processes; with Applica…Strategic Long-Term Financial Risks: Single Risk Factors (2005)Strategic Long-Term Financial…Pricing Asian options in a semimartingale model (2004)Pricing Asian options in a se…Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Generalized Hyperbolic and In…The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)The Dynamics of Implied Volat…Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (2003)Integrated OU Processes and N…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Financial Risk and Heavy Tails (2003)Financial Risk and Heavy TailsOptimal stopping and perpetual options for Lévy processes (2002)Optimal stopping and perpetua…Barrier options and touch-and-out options under regular Lévy processes of exponential type (2002)Barrier options and touch-and…Normal Modified Stable Processes (2001)Normal Modified Stable Proces…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)Copulas for Finance - A Reading Guide and Some Applications (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Analysis of Financial Time Series (2006)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)An assessment of the use of partial least squares structural equation modeling in marketing research (2011)Multigroup Analysis in Partial Least Squares (PLS) Path Modeling: Alternative Methods and Empirical Results (2011)School Bullying: Development and Some Important Challenges (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1953Die Betriebswirtschaft4,537 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2002Barrier options and touch-and-out options under regular Lévy processes of exponential type144 cited
  • 2004Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes132 cited
  • 2003Financial Risk and Heavy Tails131 cited
  • 2001Normal Modified Stable Processes128 cited
  • 2003The Dynamics of Implied Volatilities: A Common Principal Components Approach125 cited
  • 2003Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models125 cited
  • 2009MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK105 cited
  • 2004Pricing Asian options in a semimartingale model93 cited
  • 2009Multiscale local change point detection with applications to value-at-risk87 cited
  • 2005Strategic Long-Term Financial Risks: Single Risk Factors87 cited
  • 2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering83 cited
  • 2007Ambit Processes; with Applications to Turbulence and Tumour Growth71 cited
  • 2008On the duality principle in option pricing: semimartingale setting65 cited