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ArticleOn simulation of tempered stable random variates

Reiichiro Kawai2010

OA

Articlebronze2010

On simulation of tempered stable random variates

Reiichiro Kawai · H. Masuda

75 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Probability and Risk Models Markov Chains and Monte Carlo Methods

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References

2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2002The Fine Structure of Asset Returns: An Empirical Investigation 2006Tempering stable processes 2001Lévy processes : theory and applications 2001Approximations of small jumps of Lévy processes with a view towards simulation 2001Series Representations of Lévy Processes from the Perspective of Point Processes

Cited by

2011Models for heavy-tailed asset returns 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 2014Monte Carlo Simulation of the CGMY Process and Option Pricing 2018Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process 2011Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations 2019Modelling tail risk with tempered stable distributions: an overview 2019Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps

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Year2010

Typearticle

Published2010-12-22

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations75

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2010.12.014

openalex_workW2063371342

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2015

Tempered stable Ornstein– Uhlenbeck processes: A practical view