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ArticleFinancial market models with Lévy processes and time-varying volatility

Young Shin Kim2007

Article2007

Financial market models with Lévy processes and time-varying volatility

Young Shin Kim · Svetlozar T. Rachev · Michele Leonardo Bianchi · Frank J. Fabozzi

94 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 2003Monte Carlo Methods in Financial Engineering 2003Financial Modelling with Jump Processes 1999Option valuation using the fast Fourier transform 2002The Fine Structure of Asset Returns: An Empirical Investigation 1995THE GARCH OPTION PRICING MODEL 2000A Closed-Form GARCH Option Valuation Model 2003Lévy processes in finance pricing financial derivatives

Cited by

2010Time series analysis for financial market meltdowns 2009Computing VAR and AVaR in Infinitely Divisible Distributions 2011Tempered Infinitely Divisible Distributions and Processes 2011Fat-Tailed Models for Risk Estimation 2012Stable mixture GARCH models 2010Tempered stable distributions and processes in finance: numerical analysis 2016Value-at-Risk under Lévy GARCH models: Evidence from global stock markets

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2008A New Tempered Stable Distribution and Its Application to Financechapter · 12 shared references 2008The Modifled Tempered Stable Distribution, GARCH Models and Option Pricingarticle · 9 shared references 2005Exotic options under Lévy models: An overviewarticle · 8 shared references 2009Numerical methods for Lévy processesarticle · 8 shared references 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Modelspreprint · 7 shared references 2010Tempered stable distributions and processes in finance: numerical analysischapter · 7 shared references

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Year2007

Typearticle

Published2007-12-06

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations94

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2007.11.004

openalex_workW2037619382

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2008Stochastic models for risk estimation in volatile markets: a survey