SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time Changes for Lévy Processes
0 references·16 citing·53 second hopsampled
Time Changes for Lévy Processes (2001)Time Changes for Lévy ProcessesTIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012)TIME‐CHANGED ORNSTEIN–UHLENBE…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (2010)TIME-CHANGED MARKOV PROCESSES…Multivariate time changes for Lévy asset models: Characterization and calibration (2009)Multivariate time changes for…Optimal portfolio allocation with higher moments (2007)Optimal portfolio allocation …Properties of Realized Variance Under Alternative Sampling Schemes (2006)Properties of Realized Varian…Option Pricing for Pure Jump Processes with Markov Switching Compensators (2006)Option Pricing for Pure Jump …Five Years of Continuous-time Random Walks in Econophysics (2006)Five Years of Continuous-time…The application of continuous-time random walks in finance and economics (2005)The application of continuous…Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2005)Impact of jumps on returns an…From local volatility to local Lévy models (2004)From local volatility to loca…Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals (2004)Estimation of Continuous-Time…Pricing American options under variance gamma (2003)Pricing American options unde…Pure jump Lévy processes for asset price modelling (2002)Pure jump Lévy processes for …Option Pricing Using Variance Gamma Markov Chains (2002)Option Pricing Using Variance…Time-Changed Levy Processes and Option Pricing∗ (2001)Time-Changed Levy Processes a…The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Sato processes and the valuation of structured products (2009)Option pricing under regime-switching jump–diffusion models (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007)Markov-modulated jump–diffusions for currency option pricing (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Portfolio choice with jumps: a closed-form solution (2009)Consumption-Based Asset Pricing with Higher Cumulants (2012)Portfolio Choice in Markets with Contagion (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Brownian Motion and Stochastic Calculus (2007)Out of sample forecasts of quadratic variation (2008)Optimal combinations of realised volatility estimators (2009)Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Coupled continuous time random walks in finance (2006)Scaling in the distribution of intertrade durations of Chinese stocks (2008)Econophysics and sociophysics: Their milestones & challenges (2018)Transactions, Volume, and Volatility (1994)Optimal execution of portfolio transactions (2001)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)The Relation Between Price Changes and Trading Volume: A Survey (1987)The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Monte Carlo Simulation of the CGMY Process and Option Pricing (2014)Multivariate asset models using Lévy processes and applications (2014)The multivariate Variance Gamma model: basket option pricing and calibration (2015)Pricing Financial Instruments: The Finite Difference Method (2000)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model (2006)Fast and accurate pricing of barrier options under Lévy processes (2009)A General Framework for Pricing Asian Options Under Markov Processes (2015)The Behavior of Stock-Market Prices (1965)Theory of Rational Option Pricing (1973)Measures of risk (2004)Estimation methods for expected shortfall (2013)The Emergence of Econophysics: A New Approach in Modern Financial Theory (2013)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)A General Framework for Time-Changed Markov Processes and Applications (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2005The application of continuous-time random walks in finance and economics269 cited
  • 2006Properties of Realized Variance Under Alternative Sampling Schemes169 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2003Pricing American options under variance gamma134 cited
  • 2002Pure jump Lévy processes for asset price modelling115 cited
  • 2002Option Pricing Using Variance Gamma Markov Chains114 cited
  • 2006Option Pricing for Pure Jump Processes with Markov Switching Compensators114 cited
  • 2009Multivariate time changes for Lévy asset models: Characterization and calibration104 cited
  • 2007Optimal portfolio allocation with higher moments100 cited
  • 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING98 cited
  • 2004Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals93 cited
  • 2004From local volatility to local Lévy models92 cited
  • 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
  • 2006Five Years of Continuous-time Random Walks in Econophysics82 cited

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

2012
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
80 cited
  • 2001Time-Changed Levy Processes and Option Pricing∗80 cited