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Student processes
15 references·9 citing·39 second hop
Student processes (2005)Student processesDiffusion-type models with given marginal distribution and autocorrelation function (2005)Diffusion-type models with gi…Lévy Processes in Finance (2003)Lévy Processes in FinanceHyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Some recent developments in stochastic volatility modelling (2002)Some recent developments in s…Semi-parametric modelling in finance: theoretical foundations (2002)Semi-parametric modelling in …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…A hyperbolic diffusion model for stock prices (1996)A hyperbolic diffusion model …Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…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…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Spatial analysis of wave direction data using wrapped Gaussian processes (2012)Spatial analysis of wave dire…Spatial analysis of wave direction data using wrapped Gaussian processes (2012)Spatial analysis of wave dire…A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES (2012)A UNIFYING APPROACH TO FRACTI…A normal inverse Gaussian model for a risky asset with dependence (2011)A normal inverse Gaussian mod…Statistical Inference for Student Diffusion Process (2010)Statistical Inference for Stu…Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes (2009)Characteristic function estim…OPTION PRICING WITH VG–LIKE MODELS (2008)OPTION PRICING WITH VG–LIKE M…Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets (2007)Nonstationary increments, sca…Stationary-increment Student and variance-gamma processes (2006)Stationary-increment Student …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)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)? 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Implications for risk management (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)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)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 2003Lévy Processes in Finance793 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 1979Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions135 cited
  • 2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
  • 2002Semi-parametric modelling in finance: theoretical foundations120 cited
  • 2002Some recent developments in stochastic volatility modelling118 cited
  • 1996A hyperbolic diffusion model for stock prices117 cited

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  • 2012Spatial analysis of wave direction data using wrapped Gaussian processes79 cited
  • 2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets77 cited
  • 2012Spatial analysis of wave direction data using wrapped Gaussian processes63 cited
  • 2006Stationary-increment Student and variance-gamma processes49 cited
  • 2010Statistical Inference for Student Diffusion Process36 cited
  • 2008OPTION PRICING WITH VG–LIKE MODELS29 cited
  • 2009Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes23 cited
  • 2012A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES21 cited
  • 2011A normal inverse Gaussian model for a risky asset with dependence19 cited