-
1
-
-
84966503230
-
Handbook of Mathematical Functions
-
Dover, New York
-
Abramowitz, M. and Stegun, I. A. (1968) Handbook of Mathematical Functions. Dover, New York.
-
(1968)
-
-
Abramowitz, M.1
Stegun, I.A.2
-
2
-
-
84986593313
-
Lévy Processes and Stochastic Calculus
-
Applebaum, D. (2003) Lévy Processes and Stochastic Calculus. (In preparation.).
-
(2003)
(In preparation.)
-
-
Applebaum, D.1
-
3
-
-
0033412999
-
Coherent measures of risk
-
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D. (1999) Coherent measures of risk. Mathematical Finance 9, 203-228.
-
(1999)
Mathematical Finance
, vol.9
, pp. 203-228
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.-M.3
Heath, D.4
-
4
-
-
84986792541
-
Approximate completeness with multiple martingale measures
-
Artzner, P. and Heath, D. (1995)Approximate completeness with multiple martingale measures. Mathematical Finance 5, 1-11.
-
(1995)
Mathematical Finance
, vol.5
, pp. 1-11
-
-
Artzner, P.1
Heath, D.2
-
5
-
-
84986590390
-
Russian Options under Exponential Phase- Type Lévy Models
-
Working Paper
-
Asmussen, S.,Avram, F. and Pistorius, M. R. (2001) Russian Options under Exponential Phase- Type Lévy Models.Working Paper.
-
(2001)
-
-
Asmussen, S.1
Avram, F.2
Pistorius, M.R.3
-
6
-
-
0035637532
-
Approximations of small jumps of Lévy processes with a view towards simulation
-
Asmussen, S. and Rosiński, J. (2001) Approximations of small jumps of Lévy processes with a view towards simulation. Journal of Applied Probability 38, 482-493.
-
(2001)
Journal of Applied Probability
, vol.38
, pp. 482-493
-
-
Asmussen, S.1
Rosiński, J.2
-
7
-
-
0042408312
-
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
-
the press
-
Avram, F., Kyprianou, A. E. and Pistorius, M. R. (2003) Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Annals of Applied Probability. (In the press.).
-
(2003)
Annals of Applied Probability
-
-
Avram, F.1
Kyprianou, A.E.2
Pistorius, M.R.3
-
9
-
-
38249013711
-
Natural exponential families and self-decomposability
-
Bar-Lev, S., Bshouty, D. and Letac, G. (1992) Natural exponential families and self-decomposability. Statistics Probability Letters 13, 147-152.
-
(1992)
Statistics Probability Letters
, vol.13
, pp. 147-152
-
-
Bar-Lev, S.1
Bshouty, D.2
Letac, G.3
-
10
-
-
0017468220
-
Exponentially decreasing distributions for the logarithm of particle size
-
Barndorff-Nielsen, O. E. (1977) Exponentially decreasing distributions for the logarithm of particle size. Proceedings of the Royal Society of London A353, 401-419.
-
(1977)
Proceedings of the Royal Society of London
, vol.A353
, pp. 401-419
-
-
Barndorff-Nielsen, O.E.1
-
11
-
-
0000739010
-
Hyperbolic distributions and distributions on hyperbolae
-
Barndorff-Nielsen, O. E. (1978) Hyperbolic distributions and distributions on hyperbolae. Scandinavian Journal of Statistics 5, 151-157.
-
(1978)
Scandinavian Journal of Statistics
, vol.5
, pp. 151-157
-
-
Barndorff-Nielsen, O.E.1
-
12
-
-
0003596792
-
Normal inverse Gaussian distributions and the modeling of stock returns
-
Research Report no 300, Department of Theoretical Statistics, Aarhus University
-
Barndorff-Nielsen, O. E. (1995) Normal inverse Gaussian distributions and the modeling of stock returns. Research Report no. 300, Department of Theoretical Statistics, Aarhus University.
-
(1995)
-
-
Barndorff-Nielsen, O.E.1
-
13
-
-
0031524138
-
Normal inverse Gaussian distributions and stochastic volatility models
-
Barndorff-Nielsen, O. E. (1997) Normal inverse Gaussian distributions and stochastic volatility models. Scandinavian Journal of Statistics 24, 1-13.
-
(1997)
Scandinavian Journal of Statistics
, vol.24
, pp. 1-13
-
-
Barndorff-Nielsen, O.E.1
-
14
-
-
0002443909
-
Processes of normal inverse Gaussian type
-
Barndorff-Nielsen, O. E. (1998) Processes of normal inverse Gaussian type. Finance and Stochastics 2, 41-68.
-
(1998)
Finance and Stochastics
, vol.2
, pp. 41-68
-
-
Barndorff-Nielsen, O.E.1
-
17
-
-
0035648379
-
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
-
Barndorff-Nielsen, O. E. and Shephard, N. (2001a) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. Journal of the Royal Statistical Society B63, 167-241.
-
(2001)
Journal of the Royal Statistical Society
, vol.B63
, pp. 167-241
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
18
-
-
0000179871
-
Modelling by Lévy processes for financial econometrics
-
(ed. O. E. Barndorff-Nielsen, T. Mikosch and S. Resnick). Birkhäuser, Boston
-
Barndorff-Nielsen, O. E. and Shephard, N. (2001b) Modelling by Lévy processes for financial econometrics. In Lévy Processes - Theory and Applications (ed. O. E. Barndorff-Nielsen, T. Mikosch and S. Resnick), pp. 283-318. Birkhäuser, Boston.
-
(2001)
Lévy Processes - Theory and Applications
, pp. 283-318
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
20
-
-
0038178133
-
Integrated OU Processes and non-Gaussian OU-based Stochastic Volatility Models
-
the press
-
Barndorff-Nielsen, O. E. and Shephard, N. (2003b) Integrated OU Processes and non-Gaussian OU-based Stochastic Volatility Models. Scandinavian Journal of Statistics. (In the press.).
-
(2003)
Scandinavian Journal of Statistics
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
21
-
-
0003697040
-
Lévy Processes - Theory and Applications
-
(eds) Birkhäuser, Boston
-
Barndorff-Nielsen, O. E., Mikosch, T. and Resnick, S. (eds) (2001) Lévy Processes - Theory and Applications. Birkhäuser, Boston.
-
(2001)
-
-
Barndorff-Nielsen, O.E.1
Mikosch, T.2
Resnick, S.3
-
22
-
-
85008848438
-
Some recent developments in stochastic volatility modelling
-
Barndorff-Nielsen, O. E., Nicolato, E. and Shephard, N. (2002) Some recent developments in stochastic volatility modelling. Quantitative Finance 2, 11-23.
-
(2002)
Quantitative Finance
, vol.2
, pp. 11-23
-
-
Barndorff-Nielsen, O.E.1
Nicolato, E.2
Shephard, N.3
-
23
-
-
0000570595
-
Spanning and derivative security valuation
-
Bakshi, G. and Madan, D. B. (2000) Spanning and derivative security valuation. Financial Economics 55, 205-238.
-
(2000)
Financial Economics
, vol.55
, pp. 205-238
-
-
Bakshi, G.1
Madan, D.B.2
-
24
-
-
0141902106
-
Explicit representation of minimal variance portfolio in markets driven by Lévy processes
-
Benth, F. E., Di Nunno, G., Løkka,A., Øksendal, B. and Proske, F. (2003) Explicit representation of minimal variance portfolio in markets driven by Lévy processes. Mathematical Finance 13, 17-35.
-
(2003)
Mathematical Finance
, vol.13
, pp. 17-35
-
-
Benth, F.E.1
Di Nunno, G.2
Løkka, A.3
Øksendal, B.4
Proske, F.5
-
25
-
-
4243361059
-
Generating Gamma distributed variates for computer simulation models
-
Technical Report R-641-PR, Rand Corporation
-
Berman, M. B. (1971) Generating Gamma distributed variates for computer simulation models. Technical Report R-641-PR, Rand Corporation.
-
(1971)
-
-
Berman, M.B.1
-
26
-
-
4043059348
-
Lévy Processes
-
Cambridge University Press
-
Bertoin, J. (1996) Lévy Processes. Cambridge Tracts in Mathematics, vol. 121. Cambridge University Press.
-
(1996)
Cambridge Tracts in Mathematics
, vol.121
-
-
Bertoin, J.1
-
27
-
-
0035599225
-
Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
-
Biane, P., Pitman J. andYor, M. (2001) Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions. Bulletin of the American Mathematical Society 38, 435-465.
-
(2001)
Bulletin of the American Mathematical Society
, vol.38
, pp. 435-465
-
-
Biane, P.1
Pitman, J.2
Yor, M.3
-
28
-
-
0004302610
-
Probability and Measure
-
3rd edn JohnWiley & Sons, Ltd
-
Billingsley, P. (1995) Probability and Measure, 3rd edn. JohnWiley & Sons, Ltd.
-
(1995)
-
-
Billingsley, P.1
-
31
-
-
0346584351
-
Modelling asset returns with hyperbolic distributions
-
ed J. Knight and S. Satchell). Butterworth- Heinemann
-
Bingham, N. H. and Kiesel, R. (2001a) Modelling asset returns with hyperbolic distributions. In Return Distributions on Finance (ed. J. Knight and S. Satchell), pp. 1-20. Butterworth- Heinemann.
-
(2001)
Return Distributions on Finance
, pp. 1-20
-
-
Bingham, N.H.1
Kiesel, R.2
-
32
-
-
77954779059
-
Hyperbolic and semi-parametric models in finance
-
American Institute of Physics
-
Bingham, N. H. and Kiesel, R. (2001b) Hyperbolic and semi-parametric models in finance. In Disordered and Complex Systems. American Institute of Physics.
-
(2001)
Disordered and Complex Systems
-
-
Bingham, N.H.1
Kiesel, R.2
-
33
-
-
85008813608
-
Semi-parametric modelling in finance: theoretical foundations
-
Bingham, N. H. and Kiesel, R. (2002) Semi-parametric modelling in finance: theoretical foundations. Quantitative Finance 2, 241-250.
-
(2002)
Quantitative Finance
, vol.2
, pp. 241-250
-
-
Bingham, N.H.1
Kiesel, R.2
-
34
-
-
84920570018
-
Arbitrage Theory in Continuous Time
-
Oxford University Press
-
Björk, T. (1998) Arbitrage Theory in Continuous Time. Oxford University Press.
-
(1998)
-
-
Björk, T.1
-
35
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-654.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
36
-
-
0012152152
-
The shape of the generalized inverse Gaussian and hyperbolic distributions
-
Research Report no 37, Department of Theoretical Statistics, Aarhus University
-
Blæsild, P. (1978) The shape of the generalized inverse Gaussian and hyperbolic distributions. Research Report no. 37, Department of Theoretical Statistics, Aarhus University.
-
(1978)
-
-
Blæsild, P.1
-
37
-
-
0003460124
-
Theory of Financial Risk
-
Aléa-Saclay, Eurolles, Paris
-
Bouchaud, J.-P. and Potters, M. (1997) Theory of Financial Risk. Aléa-Saclay, Eurolles, Paris.
-
(1997)
-
-
Bouchaud, J.-P.1
Potters, M.2
-
38
-
-
0004044685
-
Generalizations of the Black-Scholes equation for truncated Lévy processes
-
Working paper
-
Boyarchenko, S. I. and Levendorskiĭ, S. Z. (1999) Generalizations of the Black-Scholes equation for truncated Lévy processes.Working paper.
-
(1999)
-
-
Boyarchenko, S.I.1
Levendorskiĭ, S.Z.2
-
41
-
-
0242459837
-
Non-Gaussian Merton-Black-Scholes Theory
-
World Scientific
-
Boyarchenko, S. I. and Levendorskiĭ, S. Z. (2002b) Non-Gaussian Merton-Black-Scholes Theory.World Scientific.
-
(2002)
-
-
Boyarchenko, S.I.1
Levendorskiĭ, S.Z.2
-
42
-
-
0036439755
-
Barrier options and touch-and-out options under regular Lévy processes of exponential type
-
Boyarchenko, S. I. and Levendorskiĭ, S. Z. (2002c) Barrier options and touch-and-out options under regular Lévy processes of exponential type. Annals of Applied Probability 12, 1261-1298.
-
(2002)
Annals of Applied Probability
, vol.12
, pp. 1261-1298
-
-
Boyarchenko, S.I.1
Levendorskiĭ, S.Z.2
-
43
-
-
0347214407
-
Interest Rate Models: Theory and Practice
-
Springer
-
Brigo, D. and Mercurio, F. (2001) Interest Rate Models: Theory and Practice. Springer.
-
(2001)
-
-
Brigo, D.1
Mercurio, F.2
-
44
-
-
0039647008
-
A continuity correction for discrete barrier options
-
Broadie, M., Glasserman, P. and Kou, S. G. (1997) A continuity correction for discrete barrier options. Mathematical Finance 7, 325-349.
-
(1997)
Mathematical Finance
, vol.7
, pp. 325-349
-
-
Broadie, M.1
Glasserman, P.2
Kou, S.G.3
-
45
-
-
0002449808
-
Connecting discrete and continuous pathdependent options
-
Broadie, M., Glasserman, P. and Kou, S. G. (1999) Connecting discrete and continuous pathdependent options. Finance and Stochastics 3, 55-82.
-
(1999)
Finance and Stochastics
, vol.3
, pp. 55-82
-
-
Broadie, M.1
Glasserman, P.2
Kou, S.G.3
-
46
-
-
0000728931
-
No-arbitrage, change of measure and conditional Esscher transforms
-
Bühlmann, H., Delbaen, F. Embrechts, P. and Shiryaev, A. N. (1996) No-arbitrage, change of measure and conditional Esscher transforms. CWI Quarterly 9(4), 291-317.
-
(1996)
CWI Quarterly
, vol.9
, Issue.4
, pp. 291-317
-
-
Bühlmann, H.1
Delbaen F.Embrechts, P.2
Shiryaev, A.N.3
-
47
-
-
0002488565
-
Option valuation using the fast Fourier transform
-
Carr, P. and Madan, D. (1998) Option valuation using the fast Fourier transform. Journal of Computational Finance 2, 61-73.
-
(1998)
Journal of Computational Finance
, vol.2
, pp. 61-73
-
-
Carr, P.1
Madan, D.2
-
48
-
-
0005833762
-
The fine structure of asset returns: an empirical investigation
-
Carr, P., Geman, H., Madan, D. H. and Yor, M. (2002) The fine structure of asset returns: an empirical investigation. Journal of Business 75, 305-332.
-
(2002)
Journal of Business
, vol.75
, pp. 305-332
-
-
Carr, P.1
Geman, H.2
Madan, D.H.3
Yor, M.4
-
50
-
-
0033457596
-
Pricing contingent claims on stocks driven by Lévy processes
-
Chan, T. (1999) Pricing contingent claims on stocks driven by Lévy processes. Annals of Applied Probability 9, 504-528.
-
(1999)
Annals of Applied Probability
, vol.9
, pp. 504-528
-
-
Chan, T.1
-
51
-
-
0000346734
-
A subordinated stochastic process model with finite variance for speculative prices
-
Clark, P. (1973) A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41, 135-156.
-
(1973)
Econometrica
, vol.41
, pp. 135-156
-
-
Clark, P.1
-
52
-
-
85008848771
-
Empirical properties of asset returns: stylized facts and statistical issues
-
Cont, R. (2001) Empirical properties of asset returns: stylized facts and statistical issues. Quantitive Finance 1, 223-236.
-
(2001)
Quantitive Finance
, vol.1
, pp. 223-236
-
-
Cont, R.1
-
53
-
-
0002189551
-
Scaling in stock market data: stable laws and beyond
-
ed B. Dubrulle, F. Graner and D. Sornette). Springer
-
Cont, R., Pooters, M. and Bouchard, J.-P. (1997) Scaling in stock market data: stable laws and beyond. In Scale Invariance and Beyond (Proceedings of the CNRSWorkshop on Scale Invariance, Les Houches, March 1997) (ed. B. Dubrulle, F. Graner and D. Sornette), pp. 75- 85. Springer.
-
(1997)
Scale Invariance and Beyond (Proceedings of the CNRSWorkshop on Scale Invariance, Les Houches, March 1997)
, pp. 75-85
-
-
Cont, R.1
Pooters, M.2
Bouchard, J.-P.3
-
54
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox, J., Ingersoll, J. and Ross, S. (1985) A theory of the term structure of interest rates. Econometrica 53, 385-408.
-
(1985)
Econometrica
, vol.53
, pp. 385-408
-
-
Cox, J.1
Ingersoll, J.2
Ross, S.3
-
55
-
-
0001249935
-
A general version of the fundamental theorem of asset pricing
-
Delbaen, F. and Schachermayer, W. (1994) A general version of the fundamental theorem of asset pricing. Mathematische Annalen 300, 463-520.
-
(1994)
Mathematische Annalen
, vol.300
, pp. 463-520
-
-
Delbaen, F.1
Schachermayer, W.2
-
56
-
-
84981255120
-
Non-Uniform Random Variate Generation
-
Springer
-
Devroye, L. (1986) Non-Uniform Random Variate Generation. Springer.
-
(1986)
-
-
Devroye, L.1
-
57
-
-
84986595089
-
Stochastic Integral Representations, Stochastic Derivatives and Minimal Variance Hedging
-
Preprint Series 2001, Pure Mathematics, Department of Mathematics, University of Oslo
-
Di Nunno, G. (2001) Stochastic Integral Representations, Stochastic Derivatives and Minimal Variance Hedging. Preprint Series 2001, Pure Mathematics, Department of Mathematics, University of Oslo, no. 19.
-
(2001)
, Issue.19
-
-
Di Nunno, G.1
-
58
-
-
0141720019
-
White Noise Analysis for Lévy Processes
-
Preprint Series 2002, Pure Mathematics, Department of Mathematics, University of Oslo
-
Di Nunno, G., Øksendal, B. and Proske F. (2002) White Noise Analysis for Lévy Processes. Preprint Series 2002, Pure Mathematics, Department of Mathematics, University of Oslo, no. 7.
-
(2002)
, Issue.7
-
-
Di Nunno, G.1
Øksendal, B.2
Proske, F.3
-
59
-
-
0005518539
-
Complete markets with discontinuous security price
-
Dritschel, M. and Protter, P. (1999) Complete markets with discontinuous security price. Finance and Stochastics 3, 203-214.
-
(1999)
Finance and Stochastics
, vol.3
, pp. 203-214
-
-
Dritschel, M.1
Protter, P.2
-
61
-
-
84972495814
-
Hyperbolic distributions in finance
-
Eberlein, E. and Keller, U. (1995) Hyperbolic distributions in finance. Bernoulli 1, 281-299.
-
(1995)
Bernoulli
, vol.1
, pp. 281-299
-
-
Eberlein, E.1
Keller, U.2
-
62
-
-
77950480105
-
The generalized hyperbolic model: financial derivatives and risk measures
-
University of Freiburg
-
Eberlein, E. and Prause, K. (1998) The generalized hyperbolic model: financial derivatives and risk measures. FDM Preprint 56, University of Freiburg.
-
(1998)
FDM Preprint
, vol.56
-
-
Eberlein, E.1
Prause, K.2
-
63
-
-
0033480136
-
Term structure models driven by general Lévy processes
-
Eberlein, E. and Raible, S. (1999) Term structure models driven by general Lévy processes. Mathematical Finance 9, 31-53.
-
(1999)
Mathematical Finance
, vol.9
, pp. 31-53
-
-
Eberlein, E.1
Raible, S.2
-
64
-
-
84986608288
-
Generalized Hyperbolic and Inverse Gaussian distributions: limiting cases and approximation of processes
-
University of Freiburg
-
Eberlein, E. and v. Hammerstein, E. A. (2002) Generalized Hyperbolic and Inverse Gaussian distributions: limiting cases and approximation of processes. FDM Preprint 80, University of Freiburg.
-
(2002)
FDM Preprint
, vol.80
-
-
Eberlein, E.1
Hammerstein, E.A.V.2
-
65
-
-
0000670088
-
New insights into smile, mispricing and value at risk: the hyperbolic model
-
Eberlein, E., Keller, U. and Prause, K. (1998) New insights into smile, mispricing and value at risk: the hyperbolic model. Journal of Business 71, 371-406.
-
(1998)
Journal of Business
, vol.71
, pp. 371-406
-
-
Eberlein, E.1
Keller, U.2
Prause, K.3
-
66
-
-
0003429186
-
Mathematics of Financial Markets
-
Springer
-
Elliot, R. J. and Kopp, P. E. (1999) Mathematics of Financial Markets. Springer.
-
(1999)
-
-
Elliot, R.J.1
Kopp, P.E.2
-
67
-
-
84986608285
-
Optimal portfolios when stock prices followan exponential Lévy process
-
Research Report, Centre of Mathematical Sciences, Munich University of Technology
-
Emmer, S. and Klüppelberg, C. (2002) Optimal portfolios when stock prices followan exponential Lévy process. Research Report, Centre of Mathematical Sciences, Munich University of Technology.
-
(2002)
-
-
Emmer, S.1
Klüppelberg, C.2
-
68
-
-
0002528209
-
The behavior of stock market prices
-
Fama, H. (1965) The behavior of stock market prices. Journal of Business 38, 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, H.1
-
69
-
-
13344285449
-
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
-
Springer
-
Filipović, D. (2001) Consistency Problems for Heath-Jarrow-Morton Interest Rate Models. Lecture Notes in Mathematics, vol. 1760. Springer.
-
(2001)
Lecture Notes in Mathematics
, vol.1760
-
-
Filipović, D.1
-
70
-
-
0036077860
-
Pure jump Lévy processes for asset price modelling
-
Geman, H. (2002) Pure jump Lévy processes for asset price modelling. Journal of Banking and Finance 26, 1297-1316.
-
(2002)
Journal of Banking and Finance
, vol.26
, pp. 1297-1316
-
-
Geman, H.1
-
71
-
-
0035592164
-
Time changes for Lévy processes
-
Geman, H., Madan, D. and Yor, M. (2001) Time changes for Lévy processes. Mathematical Finance 11, 79-96.
-
(2001)
Mathematical Finance
, vol.11
, pp. 79-96
-
-
Geman, H.1
Madan, D.2
Yor, M.3
-
73
-
-
0030295715
-
Actuarial bridges to dynamic hedging and option pricing
-
Gerber, H. U. and Shiu, E. S. W. (1996) Actuarial bridges to dynamic hedging and option pricing. Insurance: Mathematics and Economics 18(3), 183-218.
-
(1996)
Insurance: Mathematics and Economics
, vol.18
, Issue.3
, pp. 183-218
-
-
Gerber, H.U.1
Shiu, E.S.W.2
-
74
-
-
0000803388
-
The population frequencies of species and the estimation of population parameters
-
Good, I. J. (1953) The population frequencies of species and the estimation of population parameters. Biometrika 40, 237-260.
-
(1953)
Biometrika
, vol.40
, pp. 237-260
-
-
Good, I.J.1
-
76
-
-
0038179924
-
Generalized z-distributions and related stochastic processes
-
Matematikos Ir Informatikos Institutas Preprintas Nr 2000-22, Vilnius
-
Grigelionis, B. (2000) Generalized z-distributions and related stochastic processes. Matematikos Ir Informatikos Institutas Preprintas Nr. 2000-22, Vilnius.
-
(2000)
-
-
Grigelionis, B.1
-
77
-
-
0000671971
-
Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
-
Halgreen, C. (1979) Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 47, 13-18.
-
(1979)
Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete
, vol.47
, pp. 13-18
-
-
Halgreen, C.1
-
78
-
-
38649141305
-
Martingales and arbitrage in multiperiod securities markets
-
Harrison, J. M. and Kreps, D. M. (1979) Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20, 381-408.
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, J.M.1
Kreps, D.M.2
-
79
-
-
41649091143
-
Martingales and stochastic integrals in the theory of continuous trading
-
Harrison, J. M. and Pliska, S. R. (1981) Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications 11, 215-260.
-
(1981)
Stochastic Processes and their Applications
, vol.11
, pp. 215-260
-
-
Harrison, J.M.1
Pliska, S.R.2
-
80
-
-
0003792994
-
The Complete Guide To Option Pricing Formulas
-
McGraw-Hill
-
Haug, E. G. (1998) The Complete Guide To Option Pricing Formulas. McGraw-Hill.
-
(1998)
-
-
Haug, E.G.1
-
81
-
-
0002674207
-
Bond pricing and term structure of interest rates: a new methodology for contingent claims valuation
-
Heath, D. R., Jarrow, D. and Morton, A. (1992) Bond pricing and term structure of interest rates: a new methodology for contingent claims valuation. Econometrica 60, 77-105.
-
(1992)
Econometrica
, vol.60
, pp. 77-105
-
-
Heath, D.R.1
Jarrow, D.2
Morton, A.3
-
82
-
-
0037836721
-
A closed form solution for options with stochastic volatility with applications to bonds and currency options
-
Heston, S. L. (1993) A closed form solution for options with stochastic volatility with applications to bonds and currency options. Review of Financial Studies 6, 327-343.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 327-343
-
-
Heston, S.L.1
-
83
-
-
0001586998
-
Survival models for hetrogeneous populations derived from stable distributions
-
Hougaard, P. (1986) Survival models for hetrogeneous populations derived from stable distributions. Biometrika 73, 387-396.
-
(1986)
Biometrika
, vol.73
, pp. 387-396
-
-
Hougaard, P.1
-
84
-
-
84977709229
-
The pricing of options on assets with stochastic volatility
-
Hull, J. C. and White, A. (1988) The pricing of options on assets with stochastic volatility. Journal of Finance 42, 281-300.
-
(1988)
Journal of Finance
, vol.42
, pp. 281-300
-
-
Hull, J.C.1
White, A.2
-
85
-
-
0003890315
-
Options, Futures and Other Derivatives
-
Prentice-Hall, 4th edn
-
Hull, J. C. (2000) Options, Futures and Other Derivatives, 4th edn. Prentice-Hall.
-
(2000)
-
-
Hull, J.C.1
-
86
-
-
0003152174
-
Financial Derivatives in Theory and Practice
-
JohnWiley & Sons, Ltd
-
Hunt, P. J. and Kennedy, J. E. (2000) Financial Derivatives in Theory and Practice. JohnWiley & Sons, Ltd.
-
(2000)
-
-
Hunt, P.J.1
Kennedy, J.E.2
-
87
-
-
0040777009
-
Digital contracts: simple tools for pricing complex derivatives
-
Ingersoll Jr, J. E. (2000) Digital contracts: simple tools for pricing complex derivatives. Journal of Business 73, 67-88.
-
(2000)
Journal of Business
, vol.73
, pp. 67-88
-
-
Ingersoll, J.E.1
-
89
-
-
1542772373
-
Monte Carlo Methods in Finance
-
JohnWiley & Sons, Ltd
-
Jäckel, P. (2002) Monte Carlo Methods in Finance. JohnWiley & Sons, Ltd.
-
(2002)
-
-
Jäckel, P.1
-
90
-
-
0004292675
-
Interest Rate Modelling
-
JohnWiley & Sons, Ltd
-
James, J. and Webber, N. (2000) Interest Rate Modelling. JohnWiley & Sons, Ltd.
-
(2000)
-
-
James, J.1
Webber, N.2
-
91
-
-
0033422459
-
The second fundamental theorem of asset pricing
-
Jarrow, R. A., Jin, X. and Madan, D. B. (1999) The second fundamental theorem of asset pricing. Mathematical Finance 9, 255-273.
-
(1999)
Mathematical Finance
, vol.9
, pp. 255-273
-
-
Jarrow, R.A.1
Jin, X.2
Madan, D.B.3
-
92
-
-
84944837616
-
Erzeugung von Betaverteilten und Gammaverteilten Zufallszahlen
-
Johnk, M. D. (1964) Erzeugung von Betaverteilten und Gammaverteilten Zufallszahlen. Metrika 8, 5-15.
-
(1964)
Metrika
, vol.8
, pp. 5-15
-
-
Johnk, M.D.1
-
93
-
-
0010933261
-
Statistical Properties of the Generalized Inverse Gaussian Distribution
-
Springer
-
Jørgensen, B. (1982) Statistical Properties of the Generalized Inverse Gaussian Distribution. Lecture Notes in Statistics, vol. 9. Springer.
-
(1982)
Lecture Notes in Statistics
, vol.9
-
-
Jørgensen, B.1
-
95
-
-
0004171561
-
Brownian Motion and Stochastic Calculus
-
2nd edn, Springer
-
Karatzas, I. and Shreve, S. E. (1996) Brownian Motion and Stochastic Calculus, 2nd edn. Springer.
-
(1996)
-
-
Karatzas, I.1
Shreve, S.E.2
-
96
-
-
0003568337
-
Numerical Solutions of Stochastic Differential Equations
-
Springer
-
Kloeden, P. E. and Platen, E. (1992) Numerical Solutions of Stochastic Differential Equations. Springer.
-
(1992)
-
-
Kloeden, P.E.1
Platen, E.2
-
97
-
-
0003884388
-
The Askey-scheme of hypergeometric orthogonal polynomials and its q-analogue
-
Report 98-17, Delft University of Technology
-
Koekoek, R. and Swarttouw, R. F. (1998) The Askey-scheme of hypergeometric orthogonal polynomials and its q-analogue. Report 98-17, Delft University of Technology.
-
(1998)
-
-
Koekoek, R.1
Swarttouw, R.F.2
-
98
-
-
0000644312
-
Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process
-
Koponen, I. (1995) Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. Physical Review E 52, 1197-1199.
-
(1995)
Physical Review E
, vol.52
, pp. 1197-1199
-
-
Koponen, I.1
-
99
-
-
84986582798
-
Option pricing under a jump diffusion model
-
Preprint
-
Kou, S. G. andWang, H. (2001) Option pricing under a jump diffusion model. Preprint.
-
(2001)
-
-
Kou, S.G.1
Wang, H.2
-
100
-
-
0003105093
-
Arbitrage and equilibrium in economics with infinitely many commodities
-
Kreps, D. (1981) Arbitrage and equilibrium in economics with infinitely many commodities. Journal of Mathematical Economics 8, 15-35.
-
(1981)
Journal of Mathematical Economics
, vol.8
, pp. 15-35
-
-
Kreps, D.1
-
101
-
-
33747828068
-
Comparative study of first touch digitals: normal inverse Gaussian vs
-
Gaussian modelling Preprint
-
Kudryavtsev, O. and Levendorskiĭ, S. (2002) Comparative study of first touch digitals: normal inverse Gaussian vs. Gaussian modelling. Preprint.
-
(2002)
-
-
Kudryavtsev, O.1
Levendorskiĭ, S.2
-
102
-
-
0007627510
-
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
-
Leblanc, B. andYor, M. (1998) Lévy processes in finance: a remedy to the non-stationarity of continuous martingales. Finance and Stochastics 2, 399-408.
-
(1998)
Finance and Stochastics
, vol.2
, pp. 399-408
-
-
Leblanc B.andYor, M.1
-
103
-
-
0346240929
-
On Lévy processes, Malliavin calculus and market models with jumps
-
Léon, J. A., Vives, J., Utzet, F. and Solé, J. L. (2002) On Lévy processes, Malliavin calculus and market models with jumps. Finance and Stochastics 6, 197-225.
-
(2002)
Finance and Stochastics
, vol.6
, pp. 197-225
-
-
Léon, J.A.1
Vives, J.2
Utzet, F.3
Solé, J.L.4
-
104
-
-
0003777376
-
Théories de L'Addition Aléatories
-
Gauthier-Villars, Paris
-
Lévy, P. (1937) Théories de L'Addition Aléatories. Gauthier-Villars, Paris.
-
(1937)
-
-
Lévy, P.1
-
105
-
-
0141720021
-
Martingale representations of functionals of Lévy processes
-
Preprint Series 2001, Pure Mathematics, Department of Mathematics, University of Oslo
-
Løkka, A. (2001) Martingale representations of functionals of Lévy processes. Preprint Series 2001, Pure Mathematics, Department of Mathematics, University of Oslo, no. 21.
-
(2001)
, Issue.21
-
-
Løkka, A.1
-
106
-
-
0004203203
-
Characteristic Functions
-
Griffin, London
-
Lukacs, E. (1970) Characteristic Functions. Griffin, London.
-
(1970)
-
-
Lukacs, E.1
-
107
-
-
0002194324
-
Appendix: a free boundary problem for the heat equation arising from a problem in mathematical economics
-
McKean Jr, H. P. (1965) Appendix: a free boundary problem for the heat equation arising from a problem in mathematical economics. Industrial Management Review 6, 32-39.
-
(1965)
Industrial Management Review
, vol.6
, pp. 32-39
-
-
McKean, H.P.1
-
108
-
-
84986841347
-
Option pricing with VG martingale components
-
Madan, D. B. and Milne, F. (1991) Option pricing with VG martingale components. Mathematical Finance 1(4), 39-55.
-
(1991)
Mathematical Finance
, vol.1
, Issue.4
, pp. 39-55
-
-
Madan, D.B.1
Milne, F.2
-
109
-
-
0347838073
-
Chebyshev polynomial approximations and characteristic function estimation
-
Madan, D. B. and Seneta, E. (1987) Chebyshev polynomial approximations and characteristic function estimation. Journal of the Royal Statistical Society B49(2), 163-169.
-
(1987)
Journal of the Royal Statistical Society
, vol.B49
, Issue.2
, pp. 163-169
-
-
Madan, D.B.1
Seneta, E.2
-
110
-
-
0000903441
-
TheVGmodel for share market returns
-
Madan, D. B. and Seneta, E. (1990) TheVGmodel for share market returns. Journal of Business 63, 511-524.
-
(1990)
Journal of Business
, vol.63
, pp. 511-524
-
-
Madan, D.B.1
Seneta, E.2
-
111
-
-
0002895230
-
The variance Gamma process and option pricing
-
Madan, D. B., Carr, P. and Chang, E. C. (1998) The variance Gamma process and option pricing. European Finance Review 2, 79-105.
-
(1998)
European Finance Review
, vol.2
, pp. 79-105
-
-
Madan, D.B.1
Carr, P.2
Chang, E.C.3
-
114
-
-
0013217320
-
Financial modeling and option theory with the truncated Lévy process
-
University of Sydney Report 97-28
-
Matacz, A. (1997) Financial modeling and option theory with the truncated Lévy process. University of Sydney Report 97-28.
-
(1997)
-
-
Matacz, A.1
-
116
-
-
84952221231
-
Generating random variates using transformations with multiple roots
-
Michael, J. R., Schucany, W. R. and Haas, R. W. (1976) Generating random variates using transformations with multiple roots. The American Statistician 30, 88-90.
-
(1976)
The American Statistician
, vol.30
, pp. 88-90
-
-
Michael, J.R.1
Schucany, W.R.2
Haas, R.W.3
-
117
-
-
0242586742
-
Optimal stopping and perpetual options for Lévy processes
-
Mordecki, E. (2002) Optimal stopping and perpetual options for Lévy processes. Finance and Stochastics 6, 473-493.
-
(2002)
Finance and Stochastics
, vol.6
, pp. 473-493
-
-
Mordecki, E.1
-
119
-
-
0003636743
-
Matrix-Geometric Solutions in Stochastic Models
-
Johns Hopkins University Press
-
Neuts, M. (1981) Matrix-Geometric Solutions in Stochastic Models. Johns Hopkins University Press.
-
(1981)
-
-
Neuts, M.1
-
122
-
-
0141496649
-
Backwards stochastic differential equations and Feynman- Kac formula for Lévy processes, with applications in finance
-
Nualart, D. and SchoutensW. (2001) Backwards stochastic differential equations and Feynman- Kac formula for Lévy processes, with applications in finance. Bernoulli 7, 761-776.
-
(2001)
Bernoulli
, vol.7
, pp. 761-776
-
-
Nualart, D.1
Schoutens, W.2
-
123
-
-
0141831344
-
White noise of Poisson random measures
-
Preprint Series 2002, Pure Mathematics, Department of Mathematics, University of Oslo
-
Øksendal, B. and Proske, F. (2002) White noise of Poisson random measures. Preprint Series 2002, Pure Mathematics, Department of Mathematics, University of Oslo, no. 12.
-
(2002)
, Issue.12
-
-
Øksendal, B.1
Proske, F.2
-
124
-
-
0038447792
-
On joint distributions of random variables associated with fluctuations of a process with independent increments
-
Pecherskii, E. A. and Rogozin, B. A. (1969) On joint distributions of random variables associated with fluctuations of a process with independent increments. Theory of Probability and Its Applications 14, 410-423.
-
(1969)
Theory of Probability and Its Applications
, vol.14
, pp. 410-423
-
-
Pecherskii, E.A.1
Rogozin, B.A.2
-
125
-
-
26544459178
-
Infinitely divisible laws associated with hyperbolic functions
-
Prépublications du Laboratoire de Probabilités et Modèles Aléatoires. Universités de Paris 6 and Paris 7, Paris
-
Pitman, J. and Yor, M. (2000) Infinitely divisible laws associated with hyperbolic functions. Prépublications du Laboratoire de Probabilités et Modèles Aléatoires, vol. 616. Universités de Paris 6 and Paris 7, Paris.
-
(2000)
, vol.616
-
-
Pitman, J.1
Yor, M.2
-
126
-
-
0003983125
-
Convergence of Stochastic Processes
-
Springer Series in Statistics Springer
-
Pollard, D. (1984) Convergence of Stochastic Processes. Springer Series in Statistics. Springer.
-
(1984)
-
-
Pollard, D.1
-
127
-
-
0009977758
-
The Generalized Hyperbolic model: estimation, financial derivatives, and risk measures
-
PhD thesis, Freiburg
-
Prause, K. (1999) The Generalized Hyperbolic model: estimation, financial derivatives, and risk measures. PhD thesis, Freiburg.
-
(1999)
-
-
Prause, K.1
-
128
-
-
0003522826
-
Stochastic Integration and Differential Equations
-
Springer
-
Protter, Ph. (1990) Stochastic Integration and Differential Equations. Springer.
-
(1990)
-
-
Protter, P.1
-
129
-
-
0042910255
-
A partial introduction to financial asset pricing theory
-
Protter, Ph. (2001)A partial introduction to financial asset pricing theory. Stochastic Processes and Their Applications 91, 169-203.
-
(2001)
Stochastic Processes and Their Applications
, vol.91
, pp. 169-203
-
-
Protter, P.1
-
130
-
-
0004044693
-
Lévy processes in finance: theory, numerics, and empirical facts
-
PhD thesis, Freiburg
-
Raible, S. (2000) Lévy processes in finance: theory, numerics, and empirical facts. PhD thesis, Freiburg.
-
(2000)
-
-
Raible, S.1
-
131
-
-
0003737954
-
Interest-Rate Option Models
-
JohnWiley & Sons, Ltd
-
Rebonato, R. (1996) Interest-Rate Option Models. JohnWiley & Sons, Ltd.
-
(1996)
-
-
Rebonato, R.1
-
132
-
-
0002838952
-
On a class of infinitely divisible processes represented as mixtures of Gaussian processes
-
ed S. Cambanis, G. Samorodnitsky and M. S. Taqqu. Birkhäuser, Basel
-
Rosiński, J. (1991) On a class of infinitely divisible processes represented as mixtures of Gaussian processes. In Stable Processes and Related Topics (ed. S. Cambanis, G. Samorodnitsky and M. S. Taqqu), pp. 27-41. Birkhäuser, Basel.
-
(1991)
Stable Processes and Related Topics
, pp. 27-41
-
-
Rosiński, J.1
-
133
-
-
0037740752
-
Series representations of Lévy processes from the perspective of point processes
-
ed O. E. Barndorff-Nielsen, T. Mikosch and S. Resnick. Birkhäuser, Boston
-
Rosínski, J. (2001) Series representations of Lévy processes from the perspective of point processes. In Lévy Processes - Theory and Applications (ed. O. E. Barndorff-Nielsen, T. Mikosch and S. Resnick), pp. 401-415. Birkhäuser, Boston.
-
(2001)
Lévy Processes - Theory and Applications
, pp. 401-415
-
-
Rosiński, J.1
-
135
-
-
0009177761
-
The normal inverse Gaussian Lévy process: simulations and approximation
-
Research Report 344, Department of Theoretical Statistics, Aarhus University
-
Rydberg, T. (1996a) The normal inverse Gaussian Lévy process: simulations and approximation. Research Report 344, Department of Theoretical Statistics, Aarhus University.
-
(1996)
-
-
Rydberg, T.1
-
136
-
-
0003713819
-
Generalized hyperbolic diffusions with applications towards finance
-
Research Report 342, Department of Theoretical Statistics, Aarhus University
-
Rydberg, T. (1996b) Generalized hyperbolic diffusions with applications towards finance. Research Report 342, Department of Theoretical Statistics, Aarhus University.
-
(1996)
-
-
Rydberg, T.1
-
137
-
-
0000200814
-
A note on the existence of unique equivalent martingale measures in a Markovian setting
-
Rydberg, T. (1997a) A note on the existence of unique equivalent martingale measures in a Markovian setting. Finance and Stochastics 1, 251-257.
-
(1997)
Finance and Stochastics
, vol.1
, pp. 251-257
-
-
Rydberg, T.1
-
138
-
-
0001464668
-
The normal inverse Gaussian Lévy process: simulations and approximation
-
Rydberg, T. (1997b) The normal inverse Gaussian Lévy process: simulations and approximation. Communications in Statistics: Stochastic Models 13, 887-910.
-
(1997)
Communications in Statistics: Stochastic Models
, vol.13
, pp. 887-910
-
-
Rydberg, T.1
-
139
-
-
0141831348
-
Some modelling results in the area of interplay between statistics, mathematical finance, insurance and econometrics
-
PhD thesis, University of Aarhus
-
Rydberg, T. (1998) Some modelling results in the area of interplay between statistics, mathematical finance, insurance and econometrics. PhD thesis, University of Aarhus.
-
(1998)
-
-
Rydberg, T.1
-
140
-
-
0002677397
-
Rational theory of warrant pricing
-
Samuelson, P. (1965) Rational theory of warrant pricing. Industrial Management Review 6, 13-32.
-
(1965)
Industrial Management Review
, vol.6
, pp. 13-32
-
-
Samuelson, P.1
-
141
-
-
0003232762
-
Lévy Processes and Infinitely Divisible Distributions
-
Cambridge University Press
-
Sato, K. (1999) Lévy Processes and Infinitely Divisible Distributions. Cambridge Studies in Advanced Mathematics, vol. 68. Cambridge University Press.
-
(1999)
Cambridge Studies in Advanced Mathematics
, vol.68
-
-
Sato, K.1
-
142
-
-
0000867331
-
Stationary processes of Ornstein-Uhlenbeck type
-
ed K. Itô and J. V. Prohorov. Lecture Notes in Mathematics. Springer
-
Sato, K. andYamazato, M. (1982) Stationary processes of Ornstein-Uhlenbeck type. In Probability Theory and Mathematical Statistics (ed. K. Itô and J. V. Prohorov). Lecture Notes in Mathematics, vol. 1021. Springer.
-
(1982)
Probability Theory and Mathematical Statistics
, vol.1021
-
-
Sato K.andYamazato, M.1
-
143
-
-
84972547269
-
Recurrence conditions for multidimensional processes of Ornstein-Uhlenbeck type
-
Sato, K.,Watanabe, T. andYamazato, M. (1994) Recurrence conditions for multidimensional processes of Ornstein-Uhlenbeck type. Journal of the Mathematical Society of Japan 46, 245-265.
-
(1994)
Journal of the Mathematical Society of Japan
, vol.46
, pp. 245-265
-
-
Sato, K.1
Watanabe, T.2
Yamazato, M.3
-
144
-
-
0003291564
-
Stochastic Processes and Orthogonal Polynomials
-
Springer
-
Schoutens, W. (2000) Stochastic Processes and Orthogonal Polynomials. Lecture Notes in Statistics, vol. 146. Springer.
-
(2000)
Lecture Notes in Statistics
, vol.146
-
-
Schoutens, W.1
-
145
-
-
0037728520
-
The Meixner process in finance
-
EURANDOM Report 2001-002. EURANDOM, Eindhoven
-
Schoutens, W. (2001) The Meixner process in finance. EURANDOM Report 2001-002.
-
(2001)
-
-
Schoutens, W.1
-
146
-
-
21144442586
-
Meixner processes: theory and applications in finance
-
EURANDOM Report 2002-004 EURANDOM, Eindhoven
-
Schoutens, W. (2002) Meixner processes: theory and applications in finance. EURANDOM Report 2002-004. EURANDOM, Eindhoven.
-
(2002)
-
-
Schoutens, W.1
-
148
-
-
0037519601
-
Modelling Financial Derivatives with Mathematica
-
Cambridge University Press
-
Shaw,W. T. (1998) Modelling Financial Derivatives with Mathematica. Cambridge University Press.
-
(1998)
-
-
Shaw, W.T.1
-
151
-
-
0003745328
-
Essentials of Stochastic Finance
-
World Scientific
-
Shiryaev, A. N. (1999) Essentials of Stochastic Finance.World Scientific.
-
(1999)
-
-
Shiryaev, A.N.1
-
152
-
-
0002663388
-
On a distribution representing sentence-length in written prose
-
Sichel, H. S. (1974) On a distribution representing sentence-length in written prose. Journal of the Royal Statistical Society A137, 25-34.
-
(1974)
Journal of the Royal Statistical Society
, vol.A137
, pp. 25-34
-
-
Sichel, H.S.1
-
154
-
-
0003443397
-
Density Estimation for Statistics and Data Analysis
-
Chapman and Hall, London
-
Silverman, B. W. (1986) Density Estimation for Statistics and Data Analysis. Chapman and Hall, London.
-
(1986)
-
-
Silverman, B.W.1
-
155
-
-
0007316065
-
On closed form solutions for pricing options with jumping volatility
-
Unpublished paper, Technical University, Vienna
-
Tompkins, R. and Hubalek, F. (2000) On closed form solutions for pricing options with jumping volatility. Unpublished paper, Technical University, Vienna.
-
(2000)
-
-
Tompkins, R.1
Hubalek, F.2
-
156
-
-
0344328216
-
Functions of a statistical variate with given means, with special reference to Laplacian distributions
-
Tweedie, M. C. K. (1947) Functions of a statistical variate with given means, with special reference to Laplacian distributions. Proceedings of the Cambridge Philosophical Society 43, 41-49.
-
(1947)
Proceedings of the Cambridge Philosophical Society
, vol.43
, pp. 41-49
-
-
Tweedie, M.C.K.1
-
158
-
-
0003503387
-
Sequential Analysis
-
JohnWiley & Sons, Ltd, NewYork
-
Wald (1947) Sequential Analysis. JohnWiley & Sons, Ltd, NewYork.
-
(1947)
-
-
Wald1
-
159
-
-
0012196240
-
Skew distributions in biomedicine including some with negative powers of time
-
(ed. G. P. Patil et al.). Dordrecht, Reidel
-
Wise, M. G. (1975) Skew distributions in biomedicine including some with negative powers of time. In Statistical Distributions in Scientific Work, Vol. 2: Model Building and Model Selection (ed. G. P. Patil et al.), pp. 241-262. Dordrecht, Reidel.
-
(1975)
Statistical Distributions in Scientific Work, Model Building and Model Selection
, vol.2
, pp. 241-262
-
-
Wise, M.G.1
-
161
-
-
0004122289
-
Some Aspects of Brownian Motion, Part I: Some Special Functionals
-
Lectures in Mathematics ETH Zürich Birkhäuser, Berlin
-
Yor, M. (1992) Some Aspects of Brownian Motion, Part I: Some Special Functionals. Lectures in Mathematics ETH Zürich. Birkhäuser, Berlin.
-
(1992)
-
-
Yor, M.1
-
162
-
-
0347838077
-
Wiener-Hopf Factorization and the Pricing of Barrier and Lookback Options under General Lévy Processes
-
Prépublications du Laboratoire de Probabilités et Modèles Aléatoires. Universités de Paris 6 et Paris 7, Paris
-
Yor, M. and Nguyen, L. (2001)Wiener-Hopf Factorization and the Pricing of Barrier and Lookback Options under General Lévy Processes. Prépublications du Laboratoire de Probabilités et Modèles Aléatoires, vol. 640. Universités de Paris 6 et Paris 7, Paris.
-
(2001)
, vol.640
-
-
Yor, M.1
Nguyen, L.2
|