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Expansion of transition distributions of Lévy processes in small time
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Expansion of transition distributions of Lévy processes in small time (2002)Expansion of transition distributions of …A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2013)A NEW LOOK AT SHORT‐TERM IMPL…Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009)Nonparametric Estimation for …Small-time moment asymptotics for Lévy processes (2008)Small-time moment asymptotics…Risk bounds for the non-parametric estimation of Lévy processes (2006)Risk bounds for the non-param…The Variance Gamma Process and Option Pricing (1998)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Financial Modelling with Jump Processes (2003)Nonparametric estimation of time-changed Lévy models under high-frequency data (2009)Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2010)Option valuation using the fast Fourier transform (1999)Limit Theorems for Stochastic Processes (2003)Stochastic Integration and Differential Equations (2005)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Option pricing in the moderate deviations regime (2017)Nonparametric spot volatility from options (2019)Estimation for Lévy processes from high frequency data within a long time interval (2011)Density estimation for compound Poisson processes from discrete data (2013)
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  • 2013A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS49 cited
  • 2008Small-time moment asymptotics for Lévy processes46 cited
  • 2006Risk bounds for the non-parametric estimation of Lévy processes44 cited
  • 2009Nonparametric Estimation for Lévy Models Based on Discrete-Sampling44 cited

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