2014-01-15 05:52:20 +00:00
|
|
|
\begin{thebibliography}{63}
|
|
|
|
\providecommand{\natexlab}[1]{#1}
|
|
|
|
\providecommand{\url}[1]{\texttt{#1}}
|
|
|
|
\expandafter\ifx\csname urlstyle\endcsname\relax
|
|
|
|
\providecommand{\doi}[1]{doi: #1}\else
|
|
|
|
\providecommand{\doi}{doi: \begingroup \urlstyle{rm}\Url}\fi
|
|
|
|
|
|
|
|
\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
|
|
|
|
Milton Abramowitz et Irene~A. Stegun.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{H}andbook of {M}athematical {F}unctions: with {F}ormulas,
|
|
|
|
{G}raphs, and {M}athematical {T}ables}, volume~55.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Dover Publications, 1965.
|
|
|
|
|
|
|
|
\bibitem[Applebaum(2004)]{applebaum2004levy}
|
|
|
|
David Applebaum.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {L}{\'e}vy {P}rocesses: {F}rom {P}robability to {F}inance and
|
|
|
|
{Q}uantum {G}roups.
|
|
|
|
\newblock \emph{Notices of the American Mathematical Society}, 51\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
(11):\penalty0 1336--1347, 2004.
|
|
|
|
|
|
|
|
\bibitem[Bachelier(1900)]{bachelier1900theorie}
|
|
|
|
Louis Bachelier.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{T}h{\'e}orie de la sp{\'e}culation}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Gauthier-Villars, 1900.
|
|
|
|
|
|
|
|
\bibitem[Berkson(1980)]{berkson1980minimum}
|
|
|
|
Joseph Berkson.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {M}inimum {C}hi-square, not {M}aximum {L}ikelihood!
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{The Annals of Statistics}, pages 457--487, 1980.
|
|
|
|
|
|
|
|
\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
|
|
|
|
Nicholas~H. Bingham et R{\"u}diger Kiesel.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{R}isk-Neutral {V}aluation: {P}ricing and {H}edging of
|
|
|
|
{F}inancial {D}erivatives}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Springer, 2004.
|
|
|
|
|
|
|
|
\bibitem[Black(1976)]{black1976pricing}
|
|
|
|
Fischer Black.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {T}he {P}ricing of {C}ommodity {C}ontracts.
|
|
|
|
\newblock \emph{Journal of Financial Economics}, 3\penalty0 (1):\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
167--179, 1976.
|
|
|
|
|
|
|
|
\bibitem[Black et Scholes(1973)]{black1973pricing}
|
|
|
|
Fischer Black et Myron Scholes.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {T}he {P}ricing of {O}ptions and {C}orporate {L}iabilities.
|
|
|
|
\newblock \emph{The Journal of Political Economy}, pages 637--654, 1973.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Buckle(1995)]{buckle1995bayesian}
|
|
|
|
D.~J. Buckle.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {B}ayesian {I}nference for {S}table {D}istributions.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Journal of the American Statistical Association}, 90\penalty0
|
|
|
|
(430):\penalty0 605--613, 1995.
|
|
|
|
|
|
|
|
\bibitem[Butler(2007)]{butler2007saddlepoint}
|
|
|
|
Ronald~W. Butler.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{S}addlepoint {A}pproximations with {A}pplications}, volume~22.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Cambridge University Press, 2007.
|
|
|
|
|
|
|
|
\bibitem[Carr et Madan(1999)]{carr1999option}
|
2014-01-18 16:18:02 +00:00
|
|
|
Peter~P. Carr et Dilip~B. Madan.
|
|
|
|
\newblock {O}ption {V}aluation {U}sing the {F}ast {F}ourier {T}ransform.
|
|
|
|
\newblock \emph{Journal of Computational Finance}, 2\penalty0 (4):\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
61--73, 1999.
|
|
|
|
|
2014-01-18 16:18:02 +00:00
|
|
|
\bibitem[Carr et~al.(1998)Carr, Chang, et Madan]{madan1998variance}
|
|
|
|
Peter~P. Carr, Eric~C. Chang, et Dilip~B. Madan.
|
|
|
|
\newblock {T}he {V}ariance {G}amma {P}rocess and {O}ption {P}ricing.
|
|
|
|
\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
|
|
|
|
1998.
|
|
|
|
|
2014-01-15 05:52:20 +00:00
|
|
|
\bibitem[Crowder(1986)]{crowder1986consistency}
|
|
|
|
Martin Crowder.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {O}n {C}onsistency and {I}nconsistency of {E}stimating {E}quations.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Econometric Theory}, pages 305--330, 1986.
|
|
|
|
|
|
|
|
\bibitem[Crowder(1987)]{crowder1987linear}
|
|
|
|
Martin Crowder.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {O}n {L}inear and {Q}uadratic {E}stimating {F}unctions.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987.
|
|
|
|
|
|
|
|
\bibitem[Daniels(1954)]{daniels1954saddlepoint}
|
2014-01-18 16:18:02 +00:00
|
|
|
Henry~E. Daniels.
|
|
|
|
\newblock {S}addlepoint {A}pproximations in {S}tatistics.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{The Annals of Mathematical Statistics}, pages 631--650, 1954.
|
|
|
|
|
|
|
|
\bibitem[Derman(1996)]{derman1996modelrisk}
|
|
|
|
Emanuel Derman.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {M}odel {R}isk.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Technical report, Goldman Sachs, 1996.
|
|
|
|
|
|
|
|
\bibitem[Dodge(2004)]{dodge2004statistique}
|
|
|
|
Yadolah Dodge.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{S}tatistique: {D}ictionnaire Encyclop{\'e}dique}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Springer Verlag France, 2004.
|
|
|
|
|
|
|
|
\bibitem[Epps(2007)]{epps2007pricing}
|
2014-01-18 16:18:02 +00:00
|
|
|
Thomas~W. Epps.
|
|
|
|
\newblock \emph{{P}ricing {D}erivative {S}ecurities}.
|
|
|
|
\newblock World Scientific Publishing Company incorporated, 2007.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Epps et Pulley(1983)]{epps1983test}
|
2014-01-18 16:18:02 +00:00
|
|
|
Thomas~W. Epps et Lawrence~B. Pulley.
|
|
|
|
\newblock {A} {T}est for {N}ormality {B}ased on the {E}mpirical
|
|
|
|
{C}haracteristic {F}unction.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Biometrika}, 70\penalty0 (3):\penalty0 723--726, 1983.
|
|
|
|
|
|
|
|
\bibitem[Everitt et Skrondal(2006)]{everitt2006cambridge}
|
|
|
|
Brian Everitt et Anders Skrondal.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{T}he {C}ambridge {D}ictionary of {S}tatistics}, volume~4.
|
|
|
|
\newblock Cambridge University Press, 2006.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Fama et French(1993)]{fama1993common}
|
2014-01-18 16:18:02 +00:00
|
|
|
Eugene~F. Fama et Kenneth~R. French.
|
|
|
|
\newblock {C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds.
|
|
|
|
\newblock \emph{Journal of Financial Economics}, 33\penalty0 (1):\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
3--56, 1993.
|
|
|
|
|
|
|
|
\bibitem[Feuerverger et McDunnough(1981)]{feuerverger1981efficiency}
|
|
|
|
Andrey Feuerverger et Philip McDunnough.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {O}n the {E}fficiency of {E}mpirical {C}haracteristic {F}unction
|
|
|
|
{P}rocedures.
|
|
|
|
\newblock \emph{Journal of the Royal Statistical Society. Series B
|
2014-01-15 05:52:20 +00:00
|
|
|
(methodological)}, pages 20--27, 1981.
|
|
|
|
|
|
|
|
\bibitem[Fox et Taqqu(1986)]{fox1986large}
|
2014-01-18 16:18:02 +00:00
|
|
|
Robert Fox et Murad~S. Taqqu.
|
|
|
|
\newblock {L}arge-sample {P}roperties of {P}arameter {E}stimates for {S}trongly
|
|
|
|
{D}ependent {S}tationary {G}aussian {T}ime {S}eries.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{The Annals of Statistics}, 14\penalty0 (2):\penalty0 517--532,
|
|
|
|
1986.
|
|
|
|
|
|
|
|
\bibitem[Gil-Pelaez(1951)]{gil1951note}
|
2014-01-18 16:18:02 +00:00
|
|
|
J.~Gil-Pelaez.
|
|
|
|
\newblock {N}ote on the {I}nversion {T}heorem.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Biometrika}, 38\penalty0 (3-4):\penalty0 481--482, 1951.
|
|
|
|
|
|
|
|
\bibitem[Gourieroux et Monfort(1989)]{gourieroux1989statistique}
|
|
|
|
Christian Gourieroux et Alain Monfort.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{S}tatistique et Mod{\`e}les {\'E}conom{\'e}triques: Notions
|
2014-01-15 05:52:20 +00:00
|
|
|
G{\'e}n{\'e}rales, Estimation, Pr{\'e}vision, Algorithmes}, volume~1.
|
|
|
|
\newblock Economica, 1989.
|
|
|
|
|
|
|
|
\bibitem[Hall(2005)]{hall2005generalized}
|
2014-01-18 16:18:02 +00:00
|
|
|
Alastair~R. Hall.
|
|
|
|
\newblock \emph{{G}eneralized {M}ethod of {M}oments}.
|
|
|
|
\newblock Oxford University Press, 2005.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Hamilton(1994)]{hamilton1994time}
|
|
|
|
James~Douglas Hamilton.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{T}ime {S}eries {A}nalysis}, volume~2.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Cambridge University Press, 1994.
|
|
|
|
|
|
|
|
\bibitem[Hansen(1982)]{hansen1982large}
|
|
|
|
Lars~Peter Hansen.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {L}arge {S}ample {P}roperties of {G}eneralized {M}ethod of {M}oments
|
|
|
|
{E}stimators.
|
|
|
|
\newblock \emph{Econometrica}, pages 1029--1054, 1982.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Henze(1990)]{henze1990approximation}
|
2014-01-18 16:18:02 +00:00
|
|
|
Norbert Henze.
|
|
|
|
\newblock {A}n {A}pproximation to the {L}imit {D}istribution of the
|
|
|
|
{E}pps-{P}ulley {T}est {S}tatistic for {N}ormality.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Metrika}, 37\penalty0 (1):\penalty0 7--18, 1990.
|
|
|
|
|
|
|
|
\bibitem[Heston(1993)]{heston1993closed}
|
2014-01-18 16:18:02 +00:00
|
|
|
Steven~L. Heston.
|
|
|
|
\newblock {A} {C}losed-{F}orm {S}olution for {O}ptions with {S}tochastic
|
|
|
|
{V}olatility with {A}pplications to {B}ond and {C}urrency {O}ptions.
|
|
|
|
\newblock \emph{Review of Financial Studies}, 6\penalty0 (2):\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
327--343, 1993.
|
|
|
|
|
|
|
|
\bibitem[Hinkley et Revankar(1977)]{hinkley1977estimation}
|
2014-01-18 16:18:02 +00:00
|
|
|
David~V. Hinkley et Nagesh~S. Revankar.
|
|
|
|
\newblock {E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A}
|
|
|
|
{F}urther {A}nalysis.
|
|
|
|
\newblock \emph{Journal of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Hogg et Craig(1978)]{hogg1978introduction}
|
2014-01-18 16:18:02 +00:00
|
|
|
Robert~V. Hogg et Allen Craig.
|
|
|
|
\newblock \emph{{I}ntroduction to {M}athematical {S}tatistics}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Macmillan, 1978.
|
2014-01-18 16:18:02 +00:00
|
|
|
|
2014-01-15 05:52:20 +00:00
|
|
|
\bibitem[Itkin(2005)]{itkin2005pricing}
|
|
|
|
Andrey Itkin.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{arXiv preprint physics/0503137}, 2005.
|
|
|
|
|
2014-01-18 16:18:02 +00:00
|
|
|
\bibitem[{Jingbo Wang} et Marsaglia(2003)]{wang2003evaluating}
|
|
|
|
Wai Wan~Tsang {Jingbo Wang} et George Marsaglia.
|
|
|
|
\newblock {E}valuating {K}olmogorov's {D}istribution.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Journal of Statistical Software}, 8\penalty0 (18):\penalty0
|
|
|
|
1--4, 2003.
|
|
|
|
|
|
|
|
\bibitem[Kotz et~al.(2001)Kotz, Kozubowski, et Podg{\'o}rski]{kotz2001laplace}
|
2014-01-18 16:18:02 +00:00
|
|
|
Samuel Kotz, Tomasz~J. Kozubowski, et Krzystof Podg{\'o}rski.
|
|
|
|
\newblock \emph{{T}he {L}aplace {D}istribution and {G}eneralizations: {A}
|
|
|
|
{R}evisit with {A}pplications to {C}ommunications, {E}conomics,
|
|
|
|
{E}ngineering, and {F}inance}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Progress in Mathematics Series. Birkh{\"a}user, 2001.
|
|
|
|
|
|
|
|
\bibitem[Koutrouvelis(1980)]{KOUTROUVELIS01011980}
|
2014-01-18 16:18:02 +00:00
|
|
|
Ioannis~A. Koutrouvelis.
|
|
|
|
\newblock {{A} {G}oodness-{O}f-{F}it {T}est of {S}imple {H}ypotheses {B}ased on
|
|
|
|
the {E}mpirical {C}haracteristic {F}unction}.
|
|
|
|
\newblock \emph{{B}iometrika}, 67\penalty0 (1):\penalty0 238--240, 1980.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Kozubowski et Podg{\'o}rski(1999)]{kozubowski1999class}
|
2014-01-18 16:18:02 +00:00
|
|
|
Tomasz~J. Kozubowski et Krzysztof Podg{\'o}rski.
|
|
|
|
\newblock {A} {C}lass of {A}symmetric {D}istributions.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Actuarial Research Clearing House}, 1:\penalty0 113--134, 1999.
|
|
|
|
|
|
|
|
\bibitem[Kozubowski et Podg{\'o}rski(2001)]{kozubowski2001asymmetric}
|
2014-01-18 16:18:02 +00:00
|
|
|
Tomasz~J. Kozubowski et Krzysztof Podg{\'o}rski.
|
|
|
|
\newblock {A}symmetric {L}aplace {L}aws and {M}odeling {F}inancial {D}ata.
|
|
|
|
\newblock \emph{{M}athematical and {C}omputer {M}odeling}, 34\penalty0
|
|
|
|
(9):\penalty0 1003--1021, 2001.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Kyprianou(2007)]{kyprianou2007introductory}
|
2014-01-18 16:18:02 +00:00
|
|
|
Andreas~E. Kyprianou.
|
|
|
|
\newblock \emph{{I}ntroductory {L}ectures on {F}luctuations of {L}{\'e}vy
|
|
|
|
{P}rocesses with {A}pplications}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Springer, 2007.
|
|
|
|
|
|
|
|
\bibitem[Lugannani et Rice(1980)]{lugannani1980saddle}
|
|
|
|
Robert Lugannani et Stephen Rice.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {S}addle {P}oint {A}pproximation for the {D}istribution of the {S}um
|
|
|
|
of {I}ndependent {R}andom {V}ariables.
|
|
|
|
\newblock \emph{Advances in Applied Probability}, pages 475--490, 1980.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Lukacs(1960)]{lukacs1960characteristic}
|
|
|
|
Eugene Lukacs.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{C}haracteristic {F}unctions}, volume~4.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Griffin London, 1960.
|
|
|
|
|
|
|
|
\bibitem[Luong et Thompson(1987)]{luong1987minimum}
|
|
|
|
Andrew Luong et Mary~E. Thompson.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {M}inimum-{D}istance {M}ethods {B}ased on {Q}uadratic {D}istances for
|
|
|
|
{T}ransforms.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Canadian Journal of Statistics}, 15\penalty0 (3):\penalty0
|
|
|
|
239--251, 1987.
|
|
|
|
|
|
|
|
\bibitem[Madan et Seneta(1990)]{madan1990variance}
|
2014-01-18 16:18:02 +00:00
|
|
|
Dilip~B. Madan et Eugene Seneta.
|
|
|
|
\newblock {T}he {V}ariance {G}amma {M}odel for {S}hare {M}arket {R}eturns.
|
|
|
|
\newblock \emph{Journal of Business}, pages 511--524, 1990.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Mandelbrot(1963)]{mandelbrot1963variation}
|
|
|
|
Benoit Mandelbrot.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {T}he {V}ariation of {C}ertain {S}peculative {P}rices.
|
|
|
|
\newblock \emph{Journal of Business}, pages 394--419, 1963.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Merton(1976)]{merton1976option}
|
2014-01-18 16:18:02 +00:00
|
|
|
Robert~C. Merton.
|
|
|
|
\newblock {O}ption {P}ricing when {U}nderlying {S}tock {R}eturns {A}re
|
|
|
|
{D}iscontinuous.
|
|
|
|
\newblock \emph{Journal of Financial Economics}, 3\penalty0 (1):\penalty0
|
2014-01-15 05:52:20 +00:00
|
|
|
125--144, 1976.
|
|
|
|
|
2014-01-18 16:18:02 +00:00
|
|
|
\bibitem[Mikosch et~al.(2001)Mikosch, Resnick, et
|
|
|
|
Barndorff-Nielsen]{barndorff2001levy}
|
|
|
|
Thomas Mikosch, Sidney~I. Resnick, et Ole~E. Barndorff-Nielsen.
|
|
|
|
\newblock \emph{{L}{\'e}vy {P}rocesses: {T}heory and {A}pplications}.
|
|
|
|
\newblock Birkh{\"a}user, 2001.
|
|
|
|
|
2014-01-15 05:52:20 +00:00
|
|
|
\bibitem[Mitchell(1916)]{mitchell1916critique}
|
2014-01-18 16:18:02 +00:00
|
|
|
Wesley~C. Mitchell.
|
|
|
|
\newblock {A} {C}ritique of {I}ndex {N}umbers of the {P}rices of {S}tocks.
|
|
|
|
\newblock \emph{The Journal of Political Economy}, pages 625--693, 1916.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Newey et McFadden(1994)]{newey1994large}
|
2014-01-18 16:18:02 +00:00
|
|
|
Whitney~K. Newey et Daniel McFadden.
|
|
|
|
\newblock {L}arge {S}ample {E}stimation and {H}ypothesis {T}esting.
|
|
|
|
\newblock \emph{Handbook of Econometrics}, 4:\penalty0 2111--2245, 1994.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Newey et West(1987)]{newey1987hypothesis}
|
2014-01-18 16:18:02 +00:00
|
|
|
Whitney~K. Newey et Kenneth~D. West.
|
|
|
|
\newblock {H}ypothesis {T}esting with {E}fficient {M}ethod of {M}oments
|
|
|
|
{E}stimation.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{International Economic Review}, 28\penalty0 (3):\penalty0
|
|
|
|
777--787, 1987.
|
|
|
|
|
|
|
|
\bibitem[Praetz(1972)]{praetz1972distribution}
|
2014-01-18 16:18:02 +00:00
|
|
|
Peter~D. Praetz.
|
|
|
|
\newblock {T}he {D}istribution of {S}hare {P}rice {C}hanges.
|
|
|
|
\newblock \emph{Journal of Business}, pages 49--55, 1972.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Press(1967)]{press1967compound}
|
2014-01-18 16:18:02 +00:00
|
|
|
S.~James Press.
|
|
|
|
\newblock {A} {C}ompound {E}vents {M}odel for {S}ecurity {P}rices.
|
|
|
|
\newblock \emph{Journal of Business}, pages 317--335, 1967.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
2014-01-25 01:18:35 +00:00
|
|
|
\bibitem[{Sato}(1999)]{sato1999levy}
|
|
|
|
{Ken-Iti} {Sato}.
|
|
|
|
\newblock \emph{{L}{\'e}vy {P}rocesses and {I}nfinitely {D}ivisible
|
|
|
|
{D}istributions}.
|
|
|
|
\newblock Cambridge Studies in Advanced Mathematics. Cambridge University
|
|
|
|
Press, 1999.
|
|
|
|
|
2014-01-15 05:52:20 +00:00
|
|
|
\bibitem[Schoutens(2003)]{schoutens2003levy}
|
|
|
|
Wim Schoutens.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{L}{\'e}vy {P}rocesses in {F}inance}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock Wiley, 2003.
|
|
|
|
|
|
|
|
\bibitem[Scott et Dong(2012)]{RpackageVarianceGamma}
|
|
|
|
David Scott et Christine~Yang Dong.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock \emph{{{v}ariancegamma: {T}he {V}ariance {G}amma {D}istribution}},
|
|
|
|
2012.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock URL \url{http://CRAN.R-project.org/package=VarianceGamma}.
|
2014-01-25 01:18:35 +00:00
|
|
|
\newblock Consulté le 24 janvier 2014.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Seneta(2004)]{seneta2004fitting}
|
|
|
|
Eugene Seneta.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {F}itting the {V}ariance {G}amma {M}odel to {F}inancial {D}ata.
|
|
|
|
\newblock \emph{Journal of Applied Probability}, pages 177--187, 2004.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Shapiro et Wilk(1965)]{shapiro1965analysis}
|
2014-01-18 16:18:02 +00:00
|
|
|
Samuel~Sanford Shapiro et Martin~B. Wilk.
|
|
|
|
\newblock {A}n {A}nalysis of {V}ariance {T}est for {N}ormality ({C}omplete
|
|
|
|
{S}amples).
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Biometrika}, 52\penalty0 (3/4):\penalty0 591--611, 1965.
|
|
|
|
|
|
|
|
\bibitem[Shephard(1991)]{shephard1991characteristic}
|
2014-01-18 16:18:02 +00:00
|
|
|
Neil~G. Shephard.
|
|
|
|
\newblock {F}rom {C}haracteristic {F}unction to {D}istribution {F}unction: {A}
|
|
|
|
{S}imple {F}ramework for the {T}heory.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{Econometric Theory}, 7\penalty0 (04):\penalty0 519--529, 1991.
|
|
|
|
|
|
|
|
\bibitem[Spiegel et Liu(1999)]{spiegel1999schaum}
|
2014-01-18 16:18:02 +00:00
|
|
|
Murray~R. Spiegel et John Liu.
|
|
|
|
\newblock \emph{{S}chaum's {M}athematical {H}andbook of {F}ormulas and
|
|
|
|
{T}ables}, volume 1000.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock McGraw-Hill, 1999.
|
|
|
|
|
|
|
|
\bibitem[Stuart et Ord(1987)]{stuart1987kendall}
|
2014-01-18 16:18:02 +00:00
|
|
|
Alan Stuart et J.~Keith Ord.
|
|
|
|
\newblock \emph{{K}endall{\rq}s {A}dvanced {T}heory of {S}tatistics, {V}ol. 1}.
|
|
|
|
\newblock Oxford University Press, 1987.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Teschl(2004)]{teschl2004topics}
|
|
|
|
Gerald Teschl.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {T}opics in {R}eal and {F}unctional {A}nalysis.
|
2014-01-25 01:18:35 +00:00
|
|
|
\newblock Consulté le 24 janvier 2014, 2004.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock URL \url{http://www.mat.univie.ac.at/~gerald/ftp/book-fa/index.html}.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Walter(1995)]{walterlevy}
|
|
|
|
Christian Walter.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {L}{\'e}vy-{S}tability {U}nder {A}ddition and {F}ractal {S}tructure
|
|
|
|
of {M}arkets: {I}mplications for the {A}ctuaries and {E}mphasized
|
|
|
|
{E}xamination of {MATIF} {N}ational {C}ontract.
|
|
|
|
\newblock In \emph{Proceedings of the 5th AFIR colloquium}. International
|
|
|
|
Actuarial Association, 1995.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Wendel(1961)]{wendel1961non}
|
2014-01-18 16:18:02 +00:00
|
|
|
J.~G. Wendel.
|
|
|
|
\newblock {T}he {N}on-{A}bsolute {C}onvergence of {G}il-{P}elaez' {I}nversion
|
|
|
|
{I}ntegral.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock \emph{The Annals of Mathematical Statistics}, 32\penalty0
|
|
|
|
(1):\penalty0 338--339, 1961.
|
|
|
|
|
|
|
|
\bibitem[Wolfowitz(1957)]{wolfowitz1957minimum}
|
|
|
|
Jacob Wolfowitz.
|
2014-01-18 16:18:02 +00:00
|
|
|
\newblock {T}he {M}inimum {D}istance {M}ethod.
|
|
|
|
\newblock \emph{The Annals of Mathematical Statistics}, pages 75--88, 1957.
|
2014-01-15 05:52:20 +00:00
|
|
|
|
|
|
|
\bibitem[Wooldridge(2001)]{wooldridge2001econometric}
|
2014-01-18 16:18:02 +00:00
|
|
|
Jeffrey~M. Wooldridge.
|
|
|
|
\newblock \emph{{E}conometric {A}nalysis of {C}ross {S}ection and {P}anel
|
|
|
|
{D}ata}.
|
2014-01-15 05:52:20 +00:00
|
|
|
\newblock MIT press, 2001.
|
|
|
|
|
|
|
|
\end{thebibliography}
|