697 lines
19 KiB
BibTeX
697 lines
19 KiB
BibTeX
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@article{KOUTROUVELIS01011980,
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author = {Koutrouvelis, I. A.},
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title = {A goodness-of-fit test of simple hypotheses based on
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the empirical characteristic function},
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volume = 67,
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number = 1,
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pages = {238-240},
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year = 1980,
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doi = {10.1093/biomet/67.1.238},
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abstract = {SUMMARY The empirical characteristic function φn(t)
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and its asymptotic distribution are utilized to find
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a chi-squared goodness-of-fit test for simple null
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hypotheses. In addition the optimum number and
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location of points t at which φn(t) has to be
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evaluated is investigated for specified alternative
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hypotheses.},
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URL =
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{http://biomet.oxfordjournals.org/content/67/1/238.abstract},
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eprint =
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{http://biomet.oxfordjournals.org/content/67/1/238.full.pdf+html},
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journal = {Biometrika}
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}
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@Manual{RpackageVarianceGamma,
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title = {VarianceGamma: The Variance Gamma Distribution},
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author = {David Scott and Christine Yang Dong},
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year = 2012,
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note = {R package version 0.3-1},
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url = {http://CRAN.R-project.org/package=VarianceGamma},
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}
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@Manual{Rsoftware,
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title = {R: A Language and Environment for Statistical
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Computing},
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author = {{R Core Team}},
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organization = {R Foundation for Statistical Computing},
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address = {Vienna, Austria},
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year = 2012,
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note = {{ISBN} 3-900051-07-0},
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url = {http://www.R-project.org/},
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}
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@ARTICLE{Singer:2009,
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AUTHOR = {Singer, S. and Nelder, J. },
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TITLE = {Nelder-Mead algorithm},
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YEAR = 2009,
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JOURNAL = {Scholarpedia},
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VOLUME = 4,
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NUMBER = 7,
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PAGES = 2928,
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URL = {http://dx.doi.org/10.4249/scholarpedia.2928}
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}
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@book{abramowitz1965handbook,
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title = {Handbook of mathematical functions: with formulas,
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graphs, and mathematical tables},
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author = {Abramowitz, Milton and Stegun, Irene A},
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volume = 55,
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year = 1965,
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publisher = {Dover publications}
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}
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@article{applebaum2004levy,
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title = {L{\'e}vy processes: From probability to finance and
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quantum groups},
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author = {Applebaum, David},
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journal = {Notices of the AMS},
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volume = 51,
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number = 11,
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pages = {1336--1347},
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year = 2004
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}
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@book{bachelier1900theorie,
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title = {Th{\'e}orie de la sp{\'e}culation},
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author = {Bachelier, Louis},
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year = 1900,
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publisher = {Gauthier-Villars}
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}
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@book{barndorff2001levy,
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title = {L{\'e}vy Processes: Theory and Applications},
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author = {Barndorff-Nielsen, O.E.E. and Mikosch, T.E. and
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Resnick, S.I.E.},
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isbn = 9780817641672,
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lccn = {lc00068064},
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url = {http://books.google.ca/books?id=ExpTdTauXMwC},
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year = 2001,
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publisher = {Birkhäuser}
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}
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@article{berkson1980minimum,
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title = {Minimum chi-square, not maximum likelihood!},
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author = {Berkson, Joseph},
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journal = {The Annals of Statistics},
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pages = {457--487},
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year = 1980,
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publisher = {JSTOR}
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}
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@book{bingham2004risk,
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title = {Risk-neutral valuation: Pricing and hedging of
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financial derivatives},
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author = {Bingham, Nicholas H and Kiesel, R{\"u}diger},
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year = 2004,
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publisher = {Springer}
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}
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@article{black1973pricing,
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title = {The pricing of options and corporate liabilities},
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author = {Black, Fischer and Scholes, Myron},
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journal = {The journal of political economy},
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pages = {637--654},
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year = 1973,
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publisher = {JSTOR}
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}
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@article{black1976pricing,
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title = {The pricing of commodity contracts},
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author = {Black, Fischer},
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journal = {Journal of financial economics},
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volume = 3,
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number = 1,
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pages = {167--179},
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year = 1976,
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publisher = {Elsevier}
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}
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@article{buckle1995bayesian,
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title = {Bayesian inference for stable distributions},
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author = {Buckle, DJ},
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journal = {Journal of the American Statistical Association},
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volume = 90,
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number = 430,
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pages = {605--613},
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year = 1995,
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publisher = {Taylor \& Francis Group}
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}
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@book{butler2007saddlepoint,
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title = {Saddlepoint approximations with applications},
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author = {Butler, Ronald W},
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volume = 22,
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year = 2007,
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publisher = {Cambridge University Press}
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}
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@article{carr1999option,
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title = {Option valuation using the fast Fourier transform},
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author = {Carr, Peter and Madan, Dilip},
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journal = {Journal of Computational Finance},
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volume = 2,
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number = 4,
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pages = {61--73},
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year = 1999
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}
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@article{crowder1986consistency,
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title = {On consistency and inconsistency of estimating
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equations},
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author = {Crowder, Martin},
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journal = {Econometric Theory},
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pages = {305--330},
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year = 1986,
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publisher = {JSTOR}
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}
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@article{crowder1987linear,
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title = {On linear and quadratic estimating functions},
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author = {Crowder, Martin},
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journal = {Biometrika},
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volume = 74,
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number = 3,
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pages = {591--597},
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year = 1987,
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publisher = {Biometrika Trust}
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}
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@article{daniels1954saddlepoint,
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title = {Saddlepoint approximations in statistics},
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author = {Daniels, Henry E},
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journal = {The Annals of Mathematical Statistics},
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pages = {631--650},
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year = 1954,
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publisher = {JSTOR}
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}
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@article{daniels1987tail,
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title = {Tail probability approximations},
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author = {Daniels, Henry E},
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journal = {International Statistical Review/Revue
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Internationale de Statistique},
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pages = {37--48},
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year = 1987,
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publisher = {JSTOR}
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}
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@TechReport{derman1996modelrisk,
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author = {Derman, Emanuel},
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title = {Model Risk},
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institution = {Goldman Sachs},
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year = 1996
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}
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@book{dodge2004statistique,
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title = {Statistique: dictionnaire encyclop{\'e}dique},
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author = {Dodge, Yadolah},
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year = 2004,
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publisher = {Springer Verlag France}
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}
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@article{epps1983test,
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title = {A test for normality based on the empirical
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characteristic function},
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author = {Epps, Thomas W and Pulley, Lawrence B},
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journal = {Biometrika},
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volume = 70,
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number = 3,
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pages = {723--726},
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year = 1983,
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publisher = {Biometrika Trust}
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}
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@book{epps2007pricing,
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title = {Pricing derivative securities},
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author = {Epps, Thomas W},
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year = 2007,
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publisher = {World Scientific Publishing Company Incorporated}
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}
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@book{everitt2006cambridge,
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title = {The Cambridge dictionary of statistics},
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author = {Everitt, Brian and Skrondal, Anders},
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volume = 4,
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year = 2006,
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publisher = {Cambridge University Press Cambridge}
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}
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@article{feuerverger1981efficiency,
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title = {On the efficiency of empirical characteristic
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function procedures},
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author = {Feuerverger, Andrey and McDunnough, Philip},
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journal = {Journal of the Royal Statistical Society. Series B
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(Methodological)},
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pages = {20--27},
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year = 1981,
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publisher = {JSTOR}
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}
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@article{fox1986large,
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title = {Large-sample properties of parameter estimates for
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strongly dependent stationary Gaussian time series},
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author = {Fox, Robert and Taqqu, Murad S},
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journal = {The Annals of Statistics},
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volume = 14,
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pages = {517--532},
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year = 1986,
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publisher = {Institute of Mathematical Statistics}
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}
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@article{gil1951note,
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title = {Note on the inversion theorem},
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author = {Gil-Pelaez, J},
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journal = {Biometrika},
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volume = 38,
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number = {3-4},
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pages = {481--482},
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year = 1951,
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publisher = {Biometrika Trust}
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}
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@book{gourieroux1989statistique,
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title = {Statistique et mod{\`e}les {\'e}conom{\'e}triques:
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Notions g{\'e}n{\'e}rales, estimation,
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pr{\'e}vision, algorithmes},
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author = {Gourieroux, Christian and Monfort, Alain},
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volume = 1,
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year = 1989,
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publisher = {Economica}
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}
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@book{hall2005generalized,
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title = {Generalized method of moments},
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author = {Hall, Alastair R},
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year = 2005,
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publisher = {Oxford University Press Oxford}
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}
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@book{hamilton1994time,
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title = {Time series analysis},
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author = {Hamilton, James Douglas},
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volume = 2,
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year = 1994,
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publisher = {Cambridge Univ Press}
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}
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@article{hansen1982large,
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title = {Large sample properties of generalized method of
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moments estimators},
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author = {Hansen, Lars Peter},
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journal = {Econometrica: Journal of the Econometric Society},
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pages = {1029--1054},
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year = 1982,
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publisher = {JSTOR}
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}
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@article{henze1990approximation,
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title = {An approximation to the limit distribution of the
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Epps-Pulley test statistic for normality},
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author = {Henze, N},
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journal = {Metrika},
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year = 1990,
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publisher = {Springer}
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}
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@article{heston1993closed,
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title = {A closed-form solution for options with stochastic
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volatility with applications to bond and currency
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options},
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author = {Heston, Steven L},
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journal = {Review of financial studies},
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publisher = {Soc Financial Studies}
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}
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@article{hinkley1977estimation,
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title = {Estimation of the Pareto law from underreported
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data: A further analysis},
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author = {Hinkley, David V and Revankar, Nagesh S},
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journal = {Journal of Econometrics},
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pages = {1--11},
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year = 1977,
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publisher = {Elsevier}
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}
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@book{hogg1978introduction,
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title = {Introduction to mathematical statistics},
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author = {Hogg, R.V. and Craig, A.T.},
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isbn = 9780029789902,
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lccn = 77002884,
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url = {http://books.google.ca/books?id=OZYQAQAAIAAJ},
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year = 1978,
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publisher = {Macmillan}
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}
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@book{hull1999options,
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title = {Options, futures, and other derivatives},
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author = {Hull, John C},
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year = 1999,
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publisher = {Pearson Education India}
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}
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|||
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|
|||
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@article{itkin2005pricing,
|
|||
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|
title = {Pricing options with VG model using FFT},
|
|||
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|
author = {Itkin, Andrey},
|
|||
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journal = {arXiv preprint physics/0503137},
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|||
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year = 2005
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|||
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}
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|||
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|
|
|||
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|
@book{kotz2001laplace,
|
|||
|
|
title = {The Laplace Distribution and Generalizations: A
|
|||
|
|
Revisit With Applications to Communications,
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|||
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Exonomics, Engineering, and Finance},
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|||
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|
author = {Kotz, S. and Kozubowski, T.J. and Podg{\'o}rski, K.},
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|||
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|
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