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Financial Models with Lévy Processes and Volatility Clustering
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  • 2019Macro Asset Allocation with Social Impact Investments95 cited
  • 2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model65 cited
  • 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models47 cited
  • 2019Modelling tail risk with tempered stable distributions: an overview27 cited
  • 2015Tempered stable Ornstein– Uhlenbeck processes: A practical view26 cited
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  • 2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL25 cited
  • 2012An Empirical Comparison of Alternative Credit Default Swap Pricing Models25 cited
  • 2023From Constant to Rough: A Survey of Continuous Volatility Modeling24 cited
  • 2013Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View23 cited
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  • 2014CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM17 cited

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