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Risk bounds for the non-parametric estimation of Lévy processes
12 references·3 citing·38 second hop
Risk bounds for the non-parametric estimation of Lévy processes (2006)Risk bounds for the non-parametric estima…Econometric analysis of jump-driven stochastic volatility models (2010)Econometric analysis of jump-…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Expansion of transition distributions of Lévy processes in small time (2002)Expansion of transition distr…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2010)Estimation of the characteris…Nonparametric estimation of time-changed Lévy models under high-frequency data (2009)Nonparametric estimation of t…Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009)Nonparametric Estimation for …The Pricing of Options on Assets with Stochastic Volatilities (1987)The variation of certain speculative prices (1997)Coherent Measures of Risk (1999)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Option pricing by transform methods: extensions, unification and error control (2004)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)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Non-parametric calibration of jump–diffusion option pricing models (2004)Stochastic Integration and Differential Equations (2005)A Multivariate Jump-Driven Financial Asset Model (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Making Markov martingales meet marginals: with explicit constructions (2002)Diffusion-type models with given marginal distribution and autocorrelation function (2005)Non-Gaussian Bayesian Geostatistical Modeling (2006)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Estimating quadratic variation using realized variance (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2010Econometric analysis of jump-driven stochastic volatility models66 cited
  • 2002Expansion of transition distributions of Lévy processes in small time53 cited

Cited by

  • 2010Estimation of the characteristics of a Lévy process observed at arbitrary frequency44 cited
  • 2009Nonparametric Estimation for Lévy Models Based on Discrete-Sampling44 cited
  • 2009Nonparametric estimation of time-changed Lévy models under high-frequency data29 cited

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