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Calibration of Lévy Term Structure Models
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Calibration of Lévy Term Structure Models (2007)Calibration of Lévy Term Structure ModelsLimit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)The Generalized Hyperbolic Mo…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…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The Behavior of Stock-Market Prices (1965)Option pricing when underlying stock returns are discontinuous (1976)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2002The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures280 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2000

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Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
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