2014-01-18 16:18:02 +00:00
@Comment {x-kbibtex-personnameformatting=<%f ><%l><, %s>}
@Article { KOUTROUVELIS01011980 ,
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Pages = "238--240",
Publisher = "Biometrika Trust",
Title = "{{A} {G}oodness-{O}f-{F}it {T}est of {S}imple {H}ypotheses {B}ased on the {E}mpirical {C}haracteristic {F}unction}",
Volume = 67,
Year = 1980
2013-12-03 02:30:57 +00:00
}
@Manual { RpackageVarianceGamma ,
2014-01-18 16:18:02 +00:00
Author = "David Scott and Christine Yang Dong",
2014-01-25 01:18:35 +00:00
Note = "Consulté le 24 janvier 2014",
2014-01-18 16:18:02 +00:00
Title = "{{v}ariancegamma: {T}he {V}ariance {G}amma {D}istribution}",
Url = "http://CRAN.R-project.org/package=VarianceGamma",
2014-01-25 01:18:35 +00:00
Year = 2012
2013-12-03 02:30:57 +00:00
}
@Manual { Rsoftware ,
2014-01-18 16:18:02 +00:00
Address = "Vienna, Austria",
Author = "{R Core Team}",
Organization = "R Foundation for Statistical Computing",
2014-01-25 01:18:35 +00:00
Note = "Consulté le 24 janvier 2014",
2014-01-18 16:18:02 +00:00
Title = "{{R}: A {L}anguage and {E}nvironment for {S}tatistical {C}omputing}",
Url = "http://www.R-project.org",
2014-01-25 01:18:35 +00:00
Year = 2014
2014-01-15 05:52:20 +00:00
}
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Author = "Milton Abramowitz and Irene A. Stegun",
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Year = 2004
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2014-01-18 16:18:02 +00:00
Author = "Thomas Mikosch and Sidney I. Resnick and Ole E. Barndorff-Nielsen",
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Title = "{L}{\'e}vy {P}rocesses: {T}heory and {A}pplications",
Year = 2001
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2014-01-18 16:18:02 +00:00
Author = "Joseph Berkson",
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@Book { bingham2004risk ,
2014-01-18 16:18:02 +00:00
Author = "Nicholas H. Bingham and R{\"u}diger Kiesel",
Publisher = "Springer",
Title = "{R}isk-Neutral {V}aluation: {P}ricing and {H}edging of {F}inancial {D}erivatives",
Year = 2004
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2014-01-18 16:18:02 +00:00
Author = "Fischer Black and Myron Scholes",
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Year = 1973
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Author = "Fischer Black",
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@Book { butler2007saddlepoint ,
2014-01-18 16:18:02 +00:00
Author = "Ronald W. Butler",
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Year = 2007
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2014-01-18 16:18:02 +00:00
Author = "Peter P. Carr and Dilip B. Madan",
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Author = "Martin Crowder",
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Author = "Martin Crowder",
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@Article { daniels1954saddlepoint ,
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Author = "Henry E. Daniels",
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}
@Article { daniels1987tail ,
2014-01-18 16:18:02 +00:00
Author = "Henry E. Daniels",
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Title = "{T}ail {P}robability {A}pproximations",
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}
@Techreport { derman1996modelrisk ,
2014-01-18 16:18:02 +00:00
Author = "Emanuel Derman",
Institution = "Goldman Sachs",
Title = "{M}odel {R}isk",
Year = 1996
2014-01-15 05:52:20 +00:00
}
@Book { dodge2004statistique ,
2014-01-18 16:18:02 +00:00
Author = "Yadolah Dodge",
Publisher = "Springer Verlag France",
Title = "{S}tatistique: {D}ictionnaire Encyclop{\'e}dique",
Year = 2004
2014-01-15 05:52:20 +00:00
}
@Article { epps1983test ,
2014-01-18 16:18:02 +00:00
Author = "Thomas W. Epps and Lawrence B. Pulley",
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Volume = 70,
Year = 1983
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@Book { epps2007pricing ,
2014-01-18 16:18:02 +00:00
Author = "Thomas W. Epps",
Publisher = "World Scientific Publishing Company incorporated",
Title = "{P}ricing {D}erivative {S}ecurities",
Year = 2007
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}
@Book { everitt2006cambridge ,
2014-01-18 16:18:02 +00:00
Author = "Brian Everitt and Anders Skrondal",
Publisher = "Cambridge University Press",
Title = "{T}he {C}ambridge {D}ictionary of {S}tatistics",
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Year = 2006
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Author = "Eugene F. Fama and Kenneth R. French",
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@Article { feuerverger1981efficiency ,
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Author = "Andrey Feuerverger and Philip McDunnough",
Journal = "Journal of the Royal Statistical Society. Series B (methodological)",
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Publisher = "Blackwell Publishing",
Title = "{O}n the {E}fficiency of {E}mpirical {C}haracteristic {F}unction {P}rocedures",
Year = 1981
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2014-01-18 16:18:02 +00:00
Author = "Robert Fox and Murad S. Taqqu",
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Title = "{L}arge-Sample {P}roperties of {P}arameter {E}stimates for {S}trongly {D}ependent {S}tationary {G}aussian {T}ime {S}eries",
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Year = 1986
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@Article { gil1951note ,
2014-01-18 16:18:02 +00:00
Author = "J. Gil-Pelaez",
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@Book { gourieroux1989statistique ,
2014-01-18 16:18:02 +00:00
Author = "Christian Gourieroux and Alain Monfort",
Publisher = "Economica",
Title = "{S}tatistique et Mod{\`e}les {\'E}conom{\'e}triques: Notions G{\'e}n{\'e}rales, Estimation, Pr{\'e}vision, Algorithmes",
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Year = 1989
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@Book { hall2005generalized ,
2014-01-18 16:18:02 +00:00
Author = "Alastair R. Hall",
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Title = "{G}eneralized {M}ethod of {M}oments",
Year = 2005
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@Book { hamilton1994time ,
2014-01-18 16:18:02 +00:00
Author = "James Douglas Hamilton",
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2014-01-18 16:18:02 +00:00
Author = "Lars Peter Hansen",
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2014-01-18 16:18:02 +00:00
Author = "Norbert Henze",
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2014-01-18 16:18:02 +00:00
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2014-01-18 16:18:02 +00:00
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@Book { hogg1978introduction ,
2014-01-18 16:18:02 +00:00
Author = "Robert V. Hogg and Allen Craig",
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@Book { hull1999options ,
2014-01-18 16:18:02 +00:00
Author = "John C. Hull",
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@Article { itkin2005pricing ,
2014-01-18 16:18:02 +00:00
Author = "Andrey Itkin",
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@Book { kotz2001laplace ,
2014-01-18 16:18:02 +00:00
Author = "Samuel Kotz and Tomasz J. Kozubowski and Krzystof Podg{\'o}rski",
Publisher = "Birkh{\"a}user",
Series = "Progress in Mathematics Series",
Title = "{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",
Year = 2001
2014-01-15 05:52:20 +00:00
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@Article { kozubowski1999class ,
2014-01-18 16:18:02 +00:00
Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski",
Journal = "Actuarial Research Clearing House",
Pages = "113--134",
Publisher = "SOA Education and Research",
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Volume = 1,
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@Article { kozubowski2001asymmetric ,
2014-01-18 16:18:02 +00:00
Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski",
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@Book { kyprianou2007introductory ,
2014-01-18 16:18:02 +00:00
Author = "Andreas E. Kyprianou",
Publisher = "Springer",
Title = "{I}ntroductory {L}ectures on {F}luctuations of {L}{\'e}vy {P}rocesses with {A}pplications",
Year = 2007
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@Article { lugannani1980saddle ,
2014-01-18 16:18:02 +00:00
Author = "Robert Lugannani and Stephen Rice",
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@Book { lukacs1960characteristic ,
2014-01-18 16:18:02 +00:00
Author = "Eugene Lukacs",
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2014-01-18 16:18:02 +00:00
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2014-01-18 16:18:02 +00:00
Author = "Dilip B. Madan and Eugene Seneta",
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2014-01-18 16:18:02 +00:00
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2014-01-18 16:18:02 +00:00
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2014-01-18 16:18:02 +00:00
Author = "Robert C. Merton",
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2014-01-18 16:18:02 +00:00
Author = "Wesley C. Mitchell",
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Title = "{A} {C}ritique of {I}ndex {N}umbers of the {P}rices of {S}tocks",
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@Book { musiela2005martingale ,
2014-01-18 16:18:02 +00:00
Author = "Marek Musiela and Marek Rutkowski",
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@Article { newey1994large ,
2014-01-18 16:18:02 +00:00
Author = "Whitney K. Newey and Daniel McFadden",
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2014-01-18 16:18:02 +00:00
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2014-01-18 16:18:02 +00:00
Author = "S. James Press",
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2014-01-18 16:18:02 +00:00
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@Book { sato1999levy ,
2014-01-25 01:18:35 +00:00
Author = "{Ken-Iti} {Sato}",
2014-01-18 16:18:02 +00:00
Publisher = "Cambridge University Press",
Series = "Cambridge Studies in Advanced Mathematics",
Title = "{L}{\'e}vy {P}rocesses and {I}nfinitely {D}ivisible {D}istributions",
Year = 1999
2014-01-15 05:52:20 +00:00
}
@Book { schoutens2003levy ,
2014-01-18 16:18:02 +00:00
Author = "Wim Schoutens",
Publisher = "Wiley",
Title = "{L}{\'e}vy {P}rocesses in {F}inance",
Year = 2003
2014-01-15 05:52:20 +00:00
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@Article { seneta2004fitting ,
2014-01-18 16:18:02 +00:00
Author = "Eugene Seneta",
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Year = 2004
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@Article { shapiro1965analysis ,
2014-01-18 16:18:02 +00:00
Author = "Samuel Sanford Shapiro and Martin B. Wilk",
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@Book { spiegel1999schaum ,
2014-01-18 16:18:02 +00:00
Author = "Murray R. Spiegel and John Liu",
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@Book { stuart1987kendall ,
2014-01-18 16:18:02 +00:00
Author = "Alan Stuart and J. Keith Ord",
Publisher = "Oxford University Press",
Title = "{K}endall{\rq}s {A}dvanced {T}heory of {S}tatistics, {V}ol. 1",
Year = 1987
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@Unpublished { teschl2004topics ,
Author = "Gerald Teschl",
Title = "{T}opics in {R}eal and {F}unctional {A}nalysis",
2014-01-25 01:18:35 +00:00
Note = "Consulté le 24 janvier 2014",
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Url = "http://www.mat.univie.ac.at/~gerald/ftp/book-fa/index.html",
Year = 2004
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}
@Phdthesis { torczon1989multi ,
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Author = "Virginia Joanne Torczon",
Title = "{M}ulti-directional {S}earch: {A} {D}irect {S}earch {A}lgorithm for {P}arallel {M}achines",
Year = 1989
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}
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@Inproceedings { walterlevy ,
Author = "Christian Walter",
Booktitle = "Proceedings of the 5th AFIR colloquium",
Publisher = "International Actuarial Association ",
Title = "{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",
Year = 1995
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}
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@Article { wang2003evaluating ,
Author = "Wai Wan Tsang {Jingbo Wang} and George Marsaglia",
Journal = "Journal of Statistical Software",
Number = 18,
Pages = "1--4",
Publisher = "American Statistical Association",
Title = "{E}valuating {K}olmogorov's {D}istribution",
Volume = 8,
Year = 2003
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}
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@Article { wendel1961non ,
Author = "J. G. Wendel",
Journal = "The Annals of Mathematical Statistics",
Number = 1,
Pages = "338--339",
Publisher = "Institute of Mathematical Statistics",
Title = "{T}he {N}on-{A}bsolute {C}onvergence of {G}il-{P}elaez' {I}nversion {I}ntegral",
Volume = 32,
Year = 1961
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}
@Article { wolfowitz1957minimum ,
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Author = "Jacob Wolfowitz",
Journal = "The Annals of Mathematical Statistics",
Pages = "75--88",
Publisher = "Institute of Mathematical Statistics",
Title = "{T}he {M}inimum {D}istance {M}ethod",
Year = 1957
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}
@Book { wooldridge2001econometric ,
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Author = "Jeffrey M. Wooldridge",
Publisher = "MIT press",
Title = "{E}conometric {A}nalysis of {C}ross {S}ection and {P}anel {D}ata",
Year = 2001
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}