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The Normal-Laplace Distribution and Its Relatives
5 references·0 citing·19 second hop
The Normal-Laplace Distribution and Its Relatives (2007)The Normal-Laplace Distribution and Its R…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Realistic Statistical Modelling of Financial Data (2000)Realistic Statistical Modelli…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Recent Advances in ARCH Modelling (2006)Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement (2012)Extreme-quantile tracking for financial time series (2014)Martingales and stochastic integrals in the theory of continuous trading (1981)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Stochastic Integration and Differential Equations (2005)Models for construction of multivariate dependence – a comparison study (2008)The Volatility of Realized Volatility (2008)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)
this work references cited by second hop

References

  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2000Realistic Statistical Modelling of Financial Data113 cited

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