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On simulation of tempered stable random variates

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References

2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
2006Tempering stable processes545 cited
2001Lévy processes : theory and applications338 cited
2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
2001Series Representations of Lévy Processes from the Perspective of Point Processes240 cited

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2011Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations31 cited
2019Modelling tail risk with tempered stable distributions: an overview27 cited
2019Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps26 cited
2015Tempered stable Ornstein– Uhlenbeck processes: A practical view26 cited

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2016

Finite difference schemes for linear stochastic integro-differential equations

26 cited