Memoire/memoire/memoire.bib

@Article{KOUTROUVELIS01011980,
  Author =	 "I. A. Koutrouvelis",
  Doi =		 "10.1093/biomet/67.1.238",
  Journal =	 "{B}iometrika",
  Number =	 1,
  Pages =	 "238--240",
  Title =	 "{{A} {G}oodness-of-{F}it {T}est Of {S}imple {H}ypotheses {B}ased
                  On The {E}mpirical {C}haracteristic {F}unction}",
  Volume =	 67,
  Year =	 1980
}

@Manual{RpackageVarianceGamma,
  Author =	 "David Scott and Christine Yang Dong",
  Note =	 "R package version 0.3-1",
  Title =	 "{{v}ariancegamma: {T}he {V}ariance {G}amma {D}istribution}",
  Url =		 "http://CRAN.R-project.org/package=VarianceGamma",
  Year =	 2012
}

@Manual{Rsoftware,
  Address =	 "Vienna, Austria",
  Author =	 "{R Core Team}",
  Isbn =	 "3-900051-07-0",
  Organization = "R Foundation for Statistical Computing",
  Title =	 "{{R}: A {L}anguage and {E}nvironment for {S}tatistical
                  {C}omputing}",
  Url =		 "http://www.R-project.org",
  Year =	 2012
}

@Article{Singer:2009,
  Author =	 "Sa\v{s}a Singer and John Nelder",
  Doi =		 "10.4249/scholarpedia.2928",
  Journal =	 "Scholarpedia",
  Number =	 7,
  Pages =	 2928,
  Title =	 "{{N}elder-{M}ead {A}lgorithm}",
  Volume =	 4,
  Year =	 2009
}

@Book{abramowitz1965handbook,
  Author =	 "Milton Abramowitz and Irene A. Stegun",
  Publisher =	 "Dover Publications",
  Title =	 "{H}andbook Of {M}athematical {F}unctions: With {F}ormulas,
                  {G}raphs, And {M}athematical {T}ables",
  Volume =	 55,
  Year =	 1965
}

@Article{applebaum2004levy,
  Author =	 "David Applebaum",
  Journal =	 "Notices Of The American Mathematical Society",
  Number =	 11,
  Pages =	 "1336--1347",
  Title =	 "{L}{\'e}vy {P}rocesses: {F}rom {P}robability To {F}inance And
                  {Q}uantum {G}roups",
  Volume =	 51,
  Year =	 2004
}

@Book{bachelier1900theorie,
  Author =	 "Louis Bachelier",
  Publisher =	 "Gauthier-Villars",
  Title =	 "{T}h{\'e}orie De La sp{\'e}culation",
  Year =	 1900
}

@Book{barndorff2001levy,
  Author =	 "O.E.E. Barndorff-Nielsen, T.E. Mikosch and
                  S.I.E. Resnick",
  Isbn =	 9780817641672,
  Publisher =	 "Birkh{\"a}user",
  Title =	 "{L}{\'e}vy {P}rocesses: {T}heory and {A}pplications",
  Year =	 2001
}

@Article{berkson1980minimum,
  Author =	 "Joseph Berkson",
  Journal =	 "The Annals of Statistics",
  Pages =	 "457--487",
  Publisher =	 "JSTOR",
  Title =	 "{M}inimum {C}hi-Square, Not {M}aximum {L}ikelihood!",
  Year =	 1980
}

@Book{bingham2004risk,
  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
}

@Article{black1973pricing,
  Author =	 "Fischer Black and Myron Scholes",
  Journal =	 "The Journal Of Political Economy",
  Pages =	 "637--654",
  Publisher =	 "JSTOR",
  Title =	 "{T}he {P}ricing Of {O}ptions And {C}orporate {L}iabilities",
  Year =	 1973
}

@Article{black1976pricing,
  Author =	 "Fischer Black",
  Journal =	 "Journal Of Financial Economics",
  Number =	 1,
  Pages =	 "167--179",
  Publisher =	 "Elsevier",
  Title =	 "{T}he {P}ricing Of {C}ommodity {C}ontracts",
  Volume =	 3,
  Year =	 1976
}

@Article{buckle1995bayesian,
  Author =	 "D. J. Buckle",
  Journal =	 "Journal of the American Statistical Association",
  Number =	 430,
  Pages =	 "605--613",
  Publisher =	 "Taylor \& Francis Group",
  Title =	 "{B}ayesian {I}nference For {S}table {D}istributions",
  Volume =	 90,
  Year =	 1995
}

@Book{butler2007saddlepoint,
  Author =	 "Ronald W. Butler",
  Publisher =	 "Cambridge University Press",
  Title =	 "{S}addlepoint {A}pproximations With {A}pplications",
  Volume =	 22,
  Year =	 2007
}

@Article{carr1999option,
  Author =	 "Peter Carr and Dilip Madan",
  Journal =	 "Journal Of Computational Finance",
  Number =	 4,
  Pages =	 "61--73",
  Title =	 "{O}ption {V}aluation {U}sing The {F}ast {F}ourier {T}ransform",
  Volume =	 2,
  Year =	 1999
}

@Article{crowder1986consistency,
  Author =	 "Martin Crowder",
  Journal =	 "Econometric Theory",
  Pages =	 "305--330",
  Publisher =	 "JSTOR",
  Title =	 "{O}n {C}onsistency And {I}nconsistency Of {E}stimating
                  {E}quations",
  Year =	 1986
}

@Article{crowder1987linear,
  Author =	 "Martin Crowder",
  Journal =	 "Biometrika",
  Number =	 3,
  Pages =	 "591--597",
  Publisher =	 "Biometrika Trust",
  Title =	 "{O}n {L}inear And {Q}uadratic {E}stimating {F}unctions",
  Volume =	 74,
  Year =	 1987
}

@Article{daniels1954saddlepoint,
  Author =	 "Henry E Daniels",
  Journal =	 "The Annals of Mathematical Statistics",
  Pages =	 "631--650",
  Publisher =	 "JSTOR",
  Title =	 "{S}addlepoint {A}pproximations In {S}tatistics",
  Year =	 1954
}

@Article{daniels1987tail,
  Author =	 "Henry E Daniels",
  Journal =	 "International Statistical Review/Revue
                  Internationale de Statistique",
  Pages =	 "37--48",
  Publisher =	 "JSTOR",
  Title =	 "{T}ail {P}robability {A}pproximations",
  Year =	 1987
}

@Techreport{derman1996modelrisk,
  Author =	 "Emanuel Derman",
  Institution =	 "Goldman Sachs",
  Title =	 "{M}odel {R}isk",
  Year =	 1996
}

@Book{dodge2004statistique,
  Author =	 "Yadolah Dodge",
  Publisher =	 "Springer Verlag France",
  Title =	 "{S}tatistique: {D}ictionnaire Encyclop{\'e}dique",
  Year =	 2004
}

@Article{epps1983test,
  Author =	 "Thomas W Epps and Lawrence B Pulley",
  Journal =	 "Biometrika",
  Number =	 3,
  Pages =	 "723--726",
  Publisher =	 "Biometrika Trust",
  Title =	 "{A} {T}est For {N}ormality {B}ased On The {E}mpirical
                  {C}haracteristic {F}unction",
  Volume =	 70,
  Year =	 1983
}

@Book{epps2007pricing,
  Author =	 "Thomas W Epps",
  Publisher =	 "World Scientific Publishing Company Incorporated",
  Title =	 "{P}ricing {D}erivative {S}ecurities",
  Year =	 2007
}

@Book{everitt2006cambridge,
  Author =	 "Brian Everitt and Anders Skrondal",
  Publisher =	 "Cambridge University Press Cambridge",
  Title =	 "{T}he {C}ambridge {D}ictionary Of {S}tatistics",
  Volume =	 4,
  Year =	 2006
}

@Article{feuerverger1981efficiency,
  Author =	 "Andrey Feuerverger and Philip McDunnough",
  Journal =	 "Journal Of The Royal Statistical Society. Series B
                  (methodological)",
  Pages =	 "20--27",
  Publisher =	 "JSTOR",
  Title =	 "{O}n The {E}fficiency Of {E}mpirical {C}haracteristic
                  {F}unction {P}rocedures",
  Year =	 1981
}

@Article{fox1986large,
  Author =	 "Robert Fox and Murad S Taqqu",
  Journal =	 "The Annals of Statistics",
  Number =	 2,
  Pages =	 "517--532",
  Publisher =	 "Institute of Mathematical Statistics",
  Title =	 "{L}arge-Sample {P}roperties Of {P}arameter {E}stimates For
                  {S}trongly {D}ependent {S}tationary {G}aussian {T}ime {S}eries",
  Volume =	 14,
  Year =	 1986
}

@Article{gil1951note,
  Author =	 "J Gil-Pelaez",
  Journal =	 "Biometrika",
  Number =	 "3-4",
  Pages =	 "481--482",
  Publisher =	 "Biometrika Trust",
  Title =	 "{N}ote On The {I}nversion {T}heorem",
  Volume =	 38,
  Year =	 1951
}

@Book{gourieroux1989statistique,
  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",
  Volume =	 1,
  Year =	 1989
}

@Book{hall2005generalized,
  Author =	 "Alastair R Hall",
  Publisher =	 "Oxford University Press Oxford",
  Title =	 "{G}eneralized {M}ethod Of {M}oments",
  Year =	 2005
}

@Book{hamilton1994time,
  Author =	 "James Douglas Hamilton",
  Publisher =	 "Cambridge University Press",
  Title =	 "{T}ime {S}eries {A}nalysis",
  Volume =	 2,
  Year =	 1994
}

@Article{hansen1982large,
  Author =	 "Lars Peter Hansen",
  Journal =	 "Econometrica: Journal Of The Econometric Society",
  Pages =	 "1029--1054",
  Publisher =	 "JSTOR",
  Title =	 "{L}arge {S}ample {P}roperties Of {G}eneralized {M}ethod Of
                  {M}oments {E}stimators",
  Year =	 1982
}

@Article{henze1990approximation,
  Author =	 "N Henze",
  Journal =	 "Metrika",
  Number =	 1,
  Pages =	 "7--18",
  Publisher =	 "Springer",
  Title =	 "{A}n {A}pproximation To The {L}imit {D}istribution Of The
                  {E}pps-{P}ulley {T}est {S}tatistic For {N}ormality",
  Volume =	 37,
  Year =	 1990
}

@Article{heston1993closed,
  Author =	 "Steven L Heston",
  Journal =	 "Review Of Financial Studies",
  Number =	 2,
  Pages =	 "327--343",
  Publisher =	 "Soc Financial Studies",
  Title =	 "A Closed-Form Solution For Options With Stochastic
                  Volatility With Applications To Bond And Currency
                  Options",
  Volume =	 6,
  Year =	 1993
}

@Article{hinkley1977estimation,
  Author =	 "David V Hinkley and Nagesh S Revankar",
  Journal =	 "Journal Of Econometrics",
  Number =	 1,
  Pages =	 "1--11",
  Publisher =	 "Elsevier",
  Title =	 "Estimation Of The Pareto Law From Underreported
                  Data: A Further Analysis",
  Volume =	 5,
  Year =	 1977
}

@Book{hogg1978introduction,
  Author =	 "R.V. Hogg and A.T. Craig",
  Isbn =	 9780029789902,
  Publisher =	 "Macmillan",
  Title =	 "Introduction To Mathematical Statistics",
  Year =	 1978
}

@Book{hull1999options,
  Author =	 "John C Hull",
  Publisher =	 "Pearson Education India",
  Title =	 "Options, Futures, And Other Derivatives",
  Year =	 1999
}

@Article{itkin2005pricing,
  Author =	 "Andrey Itkin",
  Journal =	 "arXiv preprint physics/0503137",
  Title =	 "Pricing Options With VG Model Using FFT",
  Year =	 2005
}

@Book{kotz2001laplace,
  Author =	 "S. Kotz and T.J. Kozubowski and K. Podg{\'o}rski",
  Isbn =	 9780817641665,
  Publisher =	 "Birkh{\"a}user",
  Series =	 "Progress in Mathematics Series",
  Title =	 "The Laplace Distribution And Generalizations: A
                  Revisit With Applications To Communications,
                  Exonomics, Engineering, And Finance",
  Year =	 2001
}

@Article{kozubowski1999class,
  Author =	 "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski",
  Journal =	 "Actuarial Research Clearing House",
  Pages =	 "113--134",
  Publisher =	 "Citeseer",
  Title =	 "A Class Of Asymmetric Distributions",
  Volume =	 1,
  Year =	 1999
}

@Article{kozubowski2001asymmetric,
  Author =	 "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski",
  Journal =	 "Mathematical And Computer Modeling",
  Number =	 9,
  Pages =	 "1003--1021",
  Publisher =	 "Elsevier",
  Title =	 "Asymmetric Laplace Laws And Modeling Financial Data",
  Volume =	 34,
  Year =	 2001
}

@Book{kyprianou2007introductory,
  Author =	 "Andreas E Kyprianou",
  Publisher =	 "Springer",
  Title =	 "Introductory Lectures On Fluctuations Of L{\'e}Vy
                  Processes With Applications",
  Year =	 2007
}

@Article{lugannani1980saddle,
  Author =	 "Robert Lugannani and Stephen Rice",
  Journal =	 "Advances In Applied Probability",
  Pages =	 "475--490",
  Publisher =	 "JSTOR",
  Title =	 "Saddle Point Approximation For The Distribution Of
                  The Sum Of Independent Random Variables",
  Year =	 1980
}

@Book{lukacs1960characteristic,
  Author =	 "Eugene Lukacs",
  Publisher =	 "Griffin London",
  Title =	 "Characteristic Functions",
  Volume =	 4,
  Year =	 1960
}

@Article{luong1987minimum,
  Author =	 "Andrew Luong and Mary E. Thompson",
  Journal =	 "Canadian Journal of Statistics",
  Number =	 3,
  Pages =	 "239--251",
  Publisher =	 "Wiley Online Library",
  Title =	 "Minimum-Distance Methods Based On Quadratic
                  Distances For Transforms",
  Volume =	 15,
  Year =	 1987
}

@Article{madan1990variance,
  Author =	 "Dilip B Madan and Eugene Seneta",
  Journal =	 "Journal Of Business",
  Pages =	 "511--524",
  Publisher =	 "JSTOR",
  Title =	 "The Variance Gamma Model For Share Market Returns",
  Year =	 1990
}

@Article{madan1998variance,
  Author =	 "Dilip B Madan, Peter P Carr and Eric C Chang",
  Journal =	 "European Finance Review",
  Number =	 1,
  Pages =	 "79--105",
  Publisher =	 "Kluwer Academic Publishers",
  Title =	 "The Variance Gamma Process And Option Pricing",
  Volume =	 2,
  Year =	 1998
}

@Article{mandelbrot1963variation,
  Author =	 "Benoit Mandelbrot",
  Journal =	 "Journal Of Business",
  Pages =	 "394--419",
  Publisher =	 "University of Chicago Press",
  Title =	 "The Variation Of Certain Speculative Prices",
  Year =	 1963
}

@Article{merton1976option,
  Author =	 "Robert C Merton",
  Journal =	 "Journal Of Financial Economics",
  Number =	 1,
  Pages =	 "125--144",
  Publisher =	 "Elsevier",
  Title =	 "Option Pricing When Underlying Stock Returns Are
                  Discontinuous",
  Volume =	 3,
  Year =	 1976
}

@Article{mitchell1916critique,
  Author =	 "Wesley C Mitchell",
  Journal =	 "The Journal Of Political Economy",
  Pages =	 "625--693",
  Publisher =	 "JSTOR",
  Title =	 "A critique of index numbers of the prices of stocks",
  Year =	 1916
}

@Book{musiela2005martingale,
  Author =	 "Marek Musiela and Marek Rutkowski",
  Publisher =	 "Springer",
  Title =	 "Martingale Methods In Financial Modelling",
  Volume =	 36,
  Year =	 2005
}

@Article{newey1987hypothesis,
  Author =	 "Whitney K Newey and Kenneth D West",
  Journal =	 "International Economic Review",
  Number =	 3,
  Pages =	 "777--787",
  Publisher =	 "JSTOR",
  Title =	 "Hypothesis Testing With Efficient Method Of Moments
                  Estimation",
  Volume =	 28,
  Year =	 1987
}

@Article{newey1994large,
  Author =	 "Whitney K Newey and Daniel McFadden",
  Journal =	 "Handbook Of Econometrics",
  Pages =	 "2111--2245",
  Publisher =	 "Elsevier",
  Title =	 "Large Sample Estimation And Hypothesis Testing",
  Volume =	 4,
  Year =	 1994
}

@Article{praetz1972distribution,
  Author =	 "Peter D Praetz",
  Journal =	 "Journal Of Business",
  Pages =	 "49--55",
  Publisher =	 "JSTOR",
  Title =	 "The Distribution Of Share Price Changes",
  Year =	 1972
}

@Article{press1967compound,
  Author =	 "S James Press",
  Journal =	 "Journal Of Business",
  Pages =	 "317--335",
  Publisher =	 "JSTOR",
  Title =	 "A Compound Events Model For Security Prices",
  Year =	 1967
}

@Article{randal2004non,
  Author =	 "John A Randal and Peter J Thomson and Martin T
                  Lally",
  Journal =	 "Quantitative Finance",
  Number =	 4,
  Pages =	 "427--440",
  Publisher =	 "Taylor \& Francis",
  Title =	 "Non-Parametric Estimation Of Historical Volatility",
  Volume =	 4,
  Year =	 2004
}

@Book{sato1999levy,
  Author =	 "K. Sato",
  Isbn =	 9780521553025,
  Publisher =	 "Cambridge University Press",
  Series =	 "Cambridge Studies in Advanced Mathematics",
  Title =	 "L{\'e}vy Processes And Infinitely Divisible
                  Distributions",
  Year =	 1999
}

@Book{schoutens2003levy,
  Author =	 "Wim Schoutens",
  Publisher =	 "Wiley",
  Title =	 "L{\'e}vy Processes In Finance",
  Year =	 2003
}

@Article{seneta2004fitting,
  Author =	 "Eugene Seneta",
  Journal =	 "Journal Of Applied Probability",
  Pages =	 "177--187",
  Publisher =	 "JSTOR",
  Title =	 "Fitting The Variance-Gamma Model To Financial Data",
  Year =	 2004
}

@Article{shapiro1965analysis,
  Author =	 "Samuel Sanford Shapiro and Martin B Wilk",
  Journal =	 "Biometrika",
  Number =	 "3/4",
  Pages =	 "591--611",
  Publisher =	 "JSTOR",
  Title =	 "An Analysis Of Variance Test For Normality (complete
                  Samples)",
  Volume =	 52,
  Year =	 1965
}

@Article{shephard1991characteristic,
  Author =	 "Neil G Shephard",
  Journal =	 "Econometric Theory",
  Number =	 04,
  Pages =	 "519--529",
  Publisher =	 "Cambridge Univ Press",
  Title =	 "From Characteristic Function To Distribution
                  Function: A Simple Framework For The Theory",
  Volume =	 7,
  Year =	 1991
}

@Book{spiegel1999schaum,
  Author =	 "Murray R Spiegel and John Liu",
  Publisher =	 "McGraw-Hill",
  Title =	 "Schaum's Mathematical Handbook Of Formulas And
                  Tables",
  Volume =	 1000,
  Year =	 1999
}

@Book{stuart1987kendall,
  Author =	 "Alan Stuart and J Keith Ord",
  Publisher =	 "Oxford University Press, New York",
  Title =	 "Kendall{\rq}s Advanced Theory Of Statistics, Vol. 1",
  Year =	 1987
}

@Phdthesis{torczon1989multi,
  Author =	 "Virginia Joanne Torczon",
  Title =	 "Multi-directional search: a direct search algorithm
                  for parallel machines",
  Year =	 1989
}

@Article{wang2003evaluating,
  Author =	 "Jingbo Wang, Wai Wan Tsang and George Marsaglia",
  Journal =	 "Journal of Statistical Software",
  Number =	 18,
  Pages =	 "1--4",
  Publisher =	 "American Statistical Association",
  Title =	 "Evaluating Kolmogorov's Distribution",
  Volume =	 8,
  Year =	 2003
}

@Article{wendel1961non,
  Author =	 "JG Wendel",
  Journal =	 "The Annals of Mathematical Statistics",
  Number =	 1,
  Pages =	 "338--339",
  Publisher =	 "Institute of Mathematical Statistics",
  Title =	 "The Non-Absolute Convergence Of Gil-Pelaez' inversion
                  Integral",
  Volume =	 32,
  Year =	 1961
}

@Unpublished{teschl2004topics,
  Author =	 "Gerald Teschl",
  Title =	 "Topics In Real And Functional Analysis",
  Year =	 2004
}

@Article{wolfowitz1957minimum,
  Author =	 "Jacob Wolfowitz",
  Journal =	 "The Annals Of Mathematical Statistics",
  Pages =	 "75--88",
  Publisher =	 "JSTOR",
  Title =	 "The Minimum Distance Method",
  Year =	 1957
}

@Book{wooldridge2001econometric,
  Author =	 "Jeffrey M Wooldridge",
  Publisher =	 "MIT press",
  Title =	 "Econometric Analysis Of Cross Section And Panel
                  Data",
  Year =	 2001
}

@Article{fama1993common,
  Author =	 "Eugene F Fama and Kenneth R French",
  Journal =	 "Journal Of Financial Economics",
  Number =	 1,
  Pages =	 "3--56",
  Publisher =	 "Elsevier",
  Title =	 "Common Risk Factors In The Returns On Stocks And
                  Bonds",
  Volume =	 33,
  Year =	 1993
}

@InProceedings{walterlevy,
  author =	 {Christian Walter},
  title =	 {"Levy-Stability Under Addition And Fractal Structure
                  Of Markets: Implications For The Actuaries And
                  Emphasized Examination Of Matif National Contract"},
  year =	 1995,
  booktitle =	 {Proceedings of the 5th AFIR colloquium},
}