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Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
16 references·0 citing·34 second hop
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing (2016)Multivariate subordination using generali…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS (2008)A MULTIVARIATE VARIANCE GAMMA…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…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…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…Multivariate subordination, self-decomposability and stability (2001)Multivariate subordination, s…Modelling by Lévy Processes for Financial Econometrics (2001)Modelling by Lévy Processes f…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Generalized Gamma Convolutions and Related Classes of Distributions and Densities (1992)Generalized Gamma Convolution…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Self-decomposability of the g…On the infinite divisibility of the lognormal distribution (1977)On the infinite divisibility …The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Limit Theorems for Stochastic Processes (1987)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)A complete explicit solution to the log-optimal portfolio problem (2003)Variance-optimal hedging for processes with stationary independent increments (2006)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Brownian Motion and Stochastic Calculus (2007)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (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)Explosive Poisson Shot Noise Processes with Applications to Risk Reserves (1995)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Fluctuations of Lévy Processes with Applications (2014)Time-changed Lévy processes and option pricing (2003)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1992Generalized Gamma Convolutions and Related Classes of Distributions and Densities318 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2001Modelling by Lévy Processes for Financial Econometrics196 cited
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  • 2001Multivariate subordination, self-decomposability and stability155 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 1979Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions135 cited
  • 2008

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A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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