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On simulation from infinitely divisible distributions
1 references·6 citing·34 second hop
On simulation from infinitely divisible distributions (1982)On simulation from infinitely divisible d…On the infinite divisibility of the lognormal distribution (1977)On the infinite divisibility …Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Multilevel Monte Carlo simula…Simulating Lévy Processes from Their Characteristic Functions and Financial Applications (2012)Simulating Lévy Processes fro…Gamma expansion of the Heston stochastic volatility model (2009)Gamma expansion of the Heston…Distributional properties of the negative binomial Lévy process (2009)Distributional properties of …Constructing hierarchical Archimedean copulas with Lévy subordinators (2009)Constructing hierarchical Arc…On the simulation of iterated Itô integrals (2001)On the simulation of iterated…Spatial Processes, Models and Applications (1983)Financial Modelling with Jump Processes (2003)Lévy processes in finance pricing financial derivatives (2003)General theory of geometric Lévy models for dynamic asset pricing (2012)Counting processes with Bernštein intertimes and random jumps (2015)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Perpetuities with thin tails (1996)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Numerical solution of stochastic differential equations (1994)Random Generation of Stochastic Area Integrals (1994)On the density of log-spot in the Heston volatility model (2010)Numerical solution of stochastic differential equations (2016)Expansion of Iterated Ito Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Multiple Fourier Series Converging in the Mean (2017)Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise (2018)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (2019)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Multilevel Monte Carlo Path Simulation (2008)Pricing of contingent convertibles under smile conform models (2013)An Introduction to Copulas (1999)Pair-copula constructions of multiple dependence (2007)Clustering of time series via non-parametric tail dependence estimation (2014)Financial Engineering with Copulas Explained (2014)A Compendium of Copulas (2017)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)Full and fast calibration of the Heston stochastic volatility model (2017)Time‐Varying Asset Volatility and the Credit Spread Puzzle (2019)
this work references cited by second hop

References

  • 1977On the infinite divisibility of the lognormal distribution166 cited

Cited by

  • 2009Gamma expansion of the Heston stochastic volatility model103 cited
  • 2009Constructing hierarchical Archimedean copulas with Lévy subordinators67 cited
  • 2009Distributional properties of the negative binomial Lévy process50 cited
  • 2001On the simulation of iterated Itô integrals47 cited
  • 2013Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation42 cited
  • 2012Simulating Lévy Processes from Their Characteristic Functions and Financial Applications32 cited

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