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Exact Asymptotic for Distribution Densities of Lévy Functionals
16 references·0 citing·42 second hop
Exact Asymptotic for Distribution Densities of Lévy Functionals (2011)Exact Asymptotic for Distribution Densiti…Transition density estimates for jump Lévy processes (2011)Transition density estimates …Tempered Infinitely Divisible Distributions and Processes (2011)Tempered Infinitely Divisible…Estimates of Tempered Stable Densities (2009)Estimates of Tempered Stable …The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008)The Modifled Tempered Stable …Densities for Ornstein-Uhlenbeck processes with jumps (2008)Densities for Ornstein-Uhlenb…Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes (2007)Gaussian approximation of mul…Tempering stable processes (2006)Tempering stable processesOn fractional tempered stable motion (2006)On fractional tempered stable…Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Malliavin calculus on the Wie…Fractional Lévy processes with an application to long memory moving average processes (2006)Fractional Lévy processes wit…On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)On multidimensional Ornstein-…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…On the existence of smooth densities for jump processes (1996)On the existence of smooth de…Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Integration and Differential Equations (2005)Multivariate supOU processes (2010)Recent results in the theory and applications of CARMA processes (2014)Asymptotics for Rough Stochastic Volatility Models (2017)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Malliavin Calculus and Related Topics (1995)Stochastic Flows and Stochastic Differential Equations (1998)The Malliavin Calculus and Related Topics (2006)Absolute continuity for some one-dimensional processes (2008)Credit Risk Models with Incomplete Information (2009)Absolute continuity for some one-dimensional processes (2010)Processes of normal inverse Gaussian type (1997)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Multivariate CARMA processes (2006)Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Ornstein–Uhlenbeck Processes and Extensions (2009)Numerical methods for Lévy processes (2009)On Kolmogorov equations for anisotropic multivariate Lévy processes (2009)Jump-adapted discretization schemes for Lévy-driven SDEs (2010)Numerical solution of stochastic differential equations (2016)Stochastic calculus of variations and hypoelliptic operators (1978)Malliavin calculus for processes with jumps (1991)White noise analysis for Lévy processes (2003)PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 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
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2006Tempering stable processes545 cited
  • 1996On the existence of smooth densities for jump processes193 cited
  • 2004On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process144 cited
  • 2006Fractional Lévy processes with an application to long memory moving average processes140 cited
  • 2006Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps90 cited
  • 2007Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes71 cited
  • 2008Densities for Ornstein-Uhlenbeck processes with jumps62 cited
  • 2011Tempered Infinitely Divisible Distributions and Processes60 cited
  • 2009Estimates of Tempered Stable Densities58 cited
  • 2008The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing49 cited
  • 2011Transition density estimates for jump Lévy processes

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38 cited
  • 2006On fractional tempered stable motion36 cited
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