Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures

16 references·16 citing·40 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1999Coherent Measures of Risk8,849 cited
1997The variation of certain speculative prices4,468 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1997Empirical Performance of Alternative Option Pricing Models2,708 cited
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
1998The Variance Gamma Process and Option Pricing1,786 cited
2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
1997Processes of normal inverse Gaussian type1,224 cited
1998The relation between implied and realized volatility1,114 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
1996Value at risk: the new benchmark for controlling market risk1,018 cited
1995Hyperbolic Distributions in Finance959 cited
1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
1990Hedging of contingent claims under incomplete information736 cited

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

1995

Option pricing by Esscher transforms.

651 cited

Cited by

2004Option pricing by transform methods: extensions, unification and error control328 cited
2002The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures280 cited
2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
2006Characterization of dependence of multidimensional Lévy processes using Lévy copulas205 cited
2010Analysis of Fourier Transform Valuation Formulas and Applications164 cited
2008Oil price dynamics (2002–2006)148 cited
2003Hyperbolic Processes in Finance146 cited
2007Which Copula is the Right One?145 cited
2004On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process144 cited
2004Fast deterministic pricing of options on Lévy driven assets144 cited
2004Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes132 cited
2003Financial Risk and Heavy Tails131 cited
2003The Dynamics of Implied Volatilities: A Common Principal Components Approach125 cited
2001The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model119 cited
2010Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution109 cited
2009MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK105 cited