Correction de la bibliographie
This commit is contained in:
François Pelletier
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8 changed files with 2046 additions and 1505 deletions
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@ -63,12 +63,12 @@
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\bibcite{buckle1995bayesian}{{8}{1995}{{Buckle}}{{}}}
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\bibcite{butler2007saddlepoint}{{9}{2007}{{Butler}}{{}}}
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\bibcite{carr1999option}{{10}{1999}{{Carr et Madan}}{{}}}
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\bibcite{crowder1986consistency}{{11}{1986}{{Crowder}}{{}}}
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\bibcite{crowder1987linear}{{12}{1987}{{Crowder}}{{}}}
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\bibcite{daniels1954saddlepoint}{{13}{1954}{{Daniels}}{{}}}
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\bibcite{madan1998variance}{{11}{1998}{{Carr et~al.}}{{Carr, Chang, et Madan}}}
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\bibcite{crowder1986consistency}{{12}{1986}{{Crowder}}{{}}}
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\bibcite{crowder1987linear}{{13}{1987}{{Crowder}}{{}}}
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\@writefile{toc}{\contentsline {chapter}{Bibliographie}{131}{section*.62}}
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\bibcite{derman1996modelrisk}{{14}{1996}{{Derman}}{{}}}
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\bibcite{madan1998variance}{{15}{1998}{{Dilip B~Madan et Chang}}{{}}}
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\bibcite{daniels1954saddlepoint}{{14}{1954}{{Daniels}}{{}}}
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\bibcite{derman1996modelrisk}{{15}{1996}{{Derman}}{{}}}
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\bibcite{dodge2004statistique}{{16}{2004}{{Dodge}}{{}}}
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\bibcite{epps2007pricing}{{17}{2007}{{Epps}}{{}}}
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\bibcite{epps1983test}{{18}{1983}{{Epps et Pulley}}{{}}}
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@ -85,26 +85,26 @@
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\bibcite{heston1993closed}{{29}{1993}{{Heston}}{{}}}
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\bibcite{hinkley1977estimation}{{30}{1977}{{Hinkley et Revankar}}{{}}}
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\bibcite{hogg1978introduction}{{31}{1978}{{Hogg et Craig}}{{}}}
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\bibcite{itkin2005pricing}{{32}{2005}{{Itkin}}{{}}}
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\bibcite{wang2003evaluating}{{33}{2003}{{Jingbo~Wang et Marsaglia}}{{}}}
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\bibcite{kotz2001laplace}{{34}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}}
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\bibcite{KOUTROUVELIS01011980}{{35}{1980}{{Koutrouvelis}}{{}}}
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\bibcite{kozubowski1999class}{{36}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}}
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\bibcite{kozubowski2001asymmetric}{{37}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}}
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\bibcite{kyprianou2007introductory}{{38}{2007}{{Kyprianou}}{{}}}
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\bibcite{lugannani1980saddle}{{39}{1980}{{Lugannani et Rice}}{{}}}
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\bibcite{lukacs1960characteristic}{{40}{1960}{{Lukacs}}{{}}}
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\bibcite{luong1987minimum}{{41}{1987}{{Luong et Thompson}}{{}}}
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\bibcite{madan1990variance}{{42}{1990}{{Madan et Seneta}}{{}}}
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\bibcite{mandelbrot1963variation}{{43}{1963}{{Mandelbrot}}{{}}}
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\bibcite{merton1976option}{{44}{1976}{{Merton}}{{}}}
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\bibcite{mitchell1916critique}{{45}{1916}{{Mitchell}}{{}}}
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\bibcite{newey1994large}{{46}{1994}{{Newey et McFadden}}{{}}}
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\bibcite{newey1987hypothesis}{{47}{1987}{{Newey et West}}{{}}}
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\bibcite{barndorff2001levy}{{48}{2001}{{O.E.E. Barndorff-Nielsen et Resnick}}{{}}}
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\bibcite{praetz1972distribution}{{49}{1972}{{Praetz}}{{}}}
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\bibcite{press1967compound}{{50}{1967}{{Press}}{{}}}
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\bibcite{sato1999levy}{{51}{1999}{{Sato}}{{}}}
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\bibcite{sato1999levy}{{32}{1999}{{iti Sato}}{{}}}
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\bibcite{itkin2005pricing}{{33}{2005}{{Itkin}}{{}}}
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\bibcite{wang2003evaluating}{{34}{2003}{{{Jingbo Wang} et Marsaglia}}{{}}}
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\bibcite{kotz2001laplace}{{35}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}}
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\bibcite{KOUTROUVELIS01011980}{{36}{1980}{{Koutrouvelis}}{{}}}
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\bibcite{kozubowski1999class}{{37}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}}
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\bibcite{kozubowski2001asymmetric}{{38}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}}
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\bibcite{kyprianou2007introductory}{{39}{2007}{{Kyprianou}}{{}}}
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\bibcite{lugannani1980saddle}{{40}{1980}{{Lugannani et Rice}}{{}}}
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\bibcite{lukacs1960characteristic}{{41}{1960}{{Lukacs}}{{}}}
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\bibcite{luong1987minimum}{{42}{1987}{{Luong et Thompson}}{{}}}
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\bibcite{madan1990variance}{{43}{1990}{{Madan et Seneta}}{{}}}
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\bibcite{mandelbrot1963variation}{{44}{1963}{{Mandelbrot}}{{}}}
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\bibcite{merton1976option}{{45}{1976}{{Merton}}{{}}}
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\bibcite{barndorff2001levy}{{46}{2001}{{Mikosch et~al.}}{{Mikosch, Resnick, et Barndorff-Nielsen}}}
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\bibcite{mitchell1916critique}{{47}{1916}{{Mitchell}}{{}}}
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\bibcite{newey1994large}{{48}{1994}{{Newey et McFadden}}{{}}}
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\bibcite{newey1987hypothesis}{{49}{1987}{{Newey et West}}{{}}}
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\bibcite{praetz1972distribution}{{50}{1972}{{Praetz}}{{}}}
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\bibcite{press1967compound}{{51}{1967}{{Press}}{{}}}
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\bibcite{schoutens2003levy}{{52}{2003}{{Schoutens}}{{}}}
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\bibcite{RpackageVarianceGamma}{{53}{2012}{{Scott et Dong}}{{}}}
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\bibcite{seneta2004fitting}{{54}{2004}{{Seneta}}{{}}}
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@ -7,355 +7,365 @@
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\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
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Milton Abramowitz et Irene~A. Stegun.
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\newblock \emph{Handbook Of Mathematical Functions: With Formulas, Graphs, And
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Mathematical Tables}, volume~55.
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\newblock \emph{{H}andbook of {M}athematical {F}unctions: with {F}ormulas,
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{G}raphs, and {M}athematical {T}ables}, volume~55.
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\newblock Dover Publications, 1965.
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\bibitem[Applebaum(2004)]{applebaum2004levy}
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David Applebaum.
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\newblock Lévy processes: From probability to finance and quantum groups.
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\newblock \emph{Notices Of The American Mathematical Society}, 51\penalty0
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\newblock {L}{\'e}vy {P}rocesses: {F}rom {P}robability to {F}inance and
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{Q}uantum {G}roups.
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\newblock \emph{Notices of the American Mathematical Society}, 51\penalty0
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(11):\penalty0 1336--1347, 2004.
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\bibitem[Bachelier(1900)]{bachelier1900theorie}
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Louis Bachelier.
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\newblock \emph{Th{\'e}orie De La Sp{\'e}culation}.
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\newblock \emph{{T}h{\'e}orie de la sp{\'e}culation}.
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\newblock Gauthier-Villars, 1900.
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\bibitem[Berkson(1980)]{berkson1980minimum}
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Joseph Berkson.
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\newblock Minimum chi-square, not maximum likelihood!
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\newblock {M}inimum {C}hi-square, not {M}aximum {L}ikelihood!
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\newblock \emph{The Annals of Statistics}, pages 457--487, 1980.
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\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
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Nicholas~H. Bingham et R{\"u}diger Kiesel.
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\newblock \emph{Risk-Neutral Valuation: Pricing And Hedging Of Financial
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Derivatives}.
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\newblock \emph{{R}isk-Neutral {V}aluation: {P}ricing and {H}edging of
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{F}inancial {D}erivatives}.
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\newblock Springer, 2004.
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\bibitem[Black(1976)]{black1976pricing}
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Fischer Black.
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\newblock The pricing of commodity contracts.
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\newblock \emph{Journal Of Financial Economics}, 3\penalty0 (1):\penalty0
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\newblock {T}he {P}ricing of {C}ommodity {C}ontracts.
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\newblock \emph{Journal of Financial Economics}, 3\penalty0 (1):\penalty0
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167--179, 1976.
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\bibitem[Black et Scholes(1973)]{black1973pricing}
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Fischer Black et Myron Scholes.
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\newblock The pricing of options and corporate liabilities.
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\newblock \emph{The Journal Of Political Economy}, pages 637--654, 1973.
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\newblock {T}he {P}ricing of {O}ptions and {C}orporate {L}iabilities.
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\newblock \emph{The Journal of Political Economy}, pages 637--654, 1973.
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\bibitem[Buckle(1995)]{buckle1995bayesian}
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D.~J. Buckle.
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\newblock Bayesian inference for stable distributions.
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\newblock {B}ayesian {I}nference for {S}table {D}istributions.
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\newblock \emph{Journal of the American Statistical Association}, 90\penalty0
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(430):\penalty0 605--613, 1995.
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\bibitem[Butler(2007)]{butler2007saddlepoint}
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Ronald~W. Butler.
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\newblock \emph{Saddlepoint Approximations With Applications}, volume~22.
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\newblock \emph{{S}addlepoint {A}pproximations with {A}pplications}, volume~22.
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\newblock Cambridge University Press, 2007.
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\bibitem[Carr et Madan(1999)]{carr1999option}
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Peter Carr et Dilip Madan.
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\newblock Option valuation using the fast fourier transform.
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\newblock \emph{Journal Of Computational Finance}, 2\penalty0 (4):\penalty0
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Peter~P. Carr et Dilip~B. Madan.
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\newblock {O}ption {V}aluation {U}sing the {F}ast {F}ourier {T}ransform.
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\newblock \emph{Journal of Computational Finance}, 2\penalty0 (4):\penalty0
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61--73, 1999.
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\bibitem[Carr et~al.(1998)Carr, Chang, et Madan]{madan1998variance}
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Peter~P. Carr, Eric~C. Chang, et Dilip~B. Madan.
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\newblock {T}he {V}ariance {G}amma {P}rocess and {O}ption {P}ricing.
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\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
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1998.
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\bibitem[Crowder(1986)]{crowder1986consistency}
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Martin Crowder.
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\newblock On consistency and inconsistency of estimating equations.
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\newblock {O}n {C}onsistency and {I}nconsistency of {E}stimating {E}quations.
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\newblock \emph{Econometric Theory}, pages 305--330, 1986.
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\bibitem[Crowder(1987)]{crowder1987linear}
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Martin Crowder.
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\newblock On linear and quadratic estimating functions.
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\newblock {O}n {L}inear and {Q}uadratic {E}stimating {F}unctions.
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\newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987.
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\bibitem[Daniels(1954)]{daniels1954saddlepoint}
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Henry~E Daniels.
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\newblock Saddlepoint approximations in statistics.
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Henry~E. Daniels.
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\newblock {S}addlepoint {A}pproximations in {S}tatistics.
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\newblock \emph{The Annals of Mathematical Statistics}, pages 631--650, 1954.
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\bibitem[Derman(1996)]{derman1996modelrisk}
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Emanuel Derman.
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\newblock Model risk.
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\newblock {M}odel {R}isk.
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\newblock Technical report, Goldman Sachs, 1996.
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\bibitem[Dilip B~Madan et Chang(1998)]{madan1998variance}
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Peter P~Carr Dilip B~Madan et Eric~C Chang.
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\newblock The variance gamma process and option pricing.
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\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
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1998.
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\bibitem[Dodge(2004)]{dodge2004statistique}
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Yadolah Dodge.
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\newblock \emph{Statistique: Dictionnaire Encyclop{\'e}dique}.
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\newblock \emph{{S}tatistique: {D}ictionnaire Encyclop{\'e}dique}.
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\newblock Springer Verlag France, 2004.
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\bibitem[Epps(2007)]{epps2007pricing}
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Thomas~W Epps.
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\newblock \emph{Pricing Derivative Securities}.
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\newblock World Scientific Publishing Company Incorporated, 2007.
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Thomas~W. Epps.
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\newblock \emph{{P}ricing {D}erivative {S}ecurities}.
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\newblock World Scientific Publishing Company incorporated, 2007.
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\bibitem[Epps et Pulley(1983)]{epps1983test}
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Thomas~W Epps et Lawrence~B Pulley.
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\newblock A test for normality based on the empirical characteristic function.
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Thomas~W. Epps et Lawrence~B. Pulley.
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\newblock {A} {T}est for {N}ormality {B}ased on the {E}mpirical
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{C}haracteristic {F}unction.
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\newblock \emph{Biometrika}, 70\penalty0 (3):\penalty0 723--726, 1983.
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\bibitem[Everitt et Skrondal(2006)]{everitt2006cambridge}
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Brian Everitt et Anders Skrondal.
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\newblock \emph{The Cambridge Dictionary Of Statistics}, volume~4.
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\newblock Cambridge University Press Cambridge, 2006.
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\newblock \emph{{T}he {C}ambridge {D}ictionary of {S}tatistics}, volume~4.
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\newblock Cambridge University Press, 2006.
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\bibitem[Fama et French(1993)]{fama1993common}
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Eugene~F Fama et Kenneth~R French.
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\newblock Common risk factors in the returns on stocks and bonds.
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\newblock \emph{Journal Of Financial Economics}, 33\penalty0 (1):\penalty0
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Eugene~F. Fama et Kenneth~R. French.
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\newblock {C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds.
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\newblock \emph{Journal of Financial Economics}, 33\penalty0 (1):\penalty0
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3--56, 1993.
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\bibitem[Feuerverger et McDunnough(1981)]{feuerverger1981efficiency}
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Andrey Feuerverger et Philip McDunnough.
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\newblock On the efficiency of empirical characteristic function procedures.
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\newblock \emph{Journal Of The Royal Statistical Society. Series B
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\newblock {O}n the {E}fficiency of {E}mpirical {C}haracteristic {F}unction
|
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{P}rocedures.
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\newblock \emph{Journal of the Royal Statistical Society. Series B
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(methodological)}, pages 20--27, 1981.
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\bibitem[Fox et Taqqu(1986)]{fox1986large}
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Robert Fox et Murad~S Taqqu.
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\newblock Large-sample properties of parameter estimates for strongly dependent
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stationary gaussian time series.
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Robert Fox et Murad~S. Taqqu.
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\newblock {L}arge-sample {P}roperties of {P}arameter {E}stimates for {S}trongly
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{D}ependent {S}tationary {G}aussian {T}ime {S}eries.
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\newblock \emph{The Annals of Statistics}, 14\penalty0 (2):\penalty0 517--532,
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1986.
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\bibitem[Gil-Pelaez(1951)]{gil1951note}
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J~Gil-Pelaez.
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\newblock Note on the inversion theorem.
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J.~Gil-Pelaez.
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\newblock {N}ote on the {I}nversion {T}heorem.
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\newblock \emph{Biometrika}, 38\penalty0 (3-4):\penalty0 481--482, 1951.
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\bibitem[Gourieroux et Monfort(1989)]{gourieroux1989statistique}
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Christian Gourieroux et Alain Monfort.
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\newblock \emph{Statistique Et Mod{\`e}les {\'E}conom{\'e}triques: Notions
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\newblock \emph{{S}tatistique et Mod{\`e}les {\'E}conom{\'e}triques: Notions
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G{\'e}n{\'e}rales, Estimation, Pr{\'e}vision, Algorithmes}, volume~1.
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\newblock Economica, 1989.
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\bibitem[Hall(2005)]{hall2005generalized}
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Alastair~R Hall.
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\newblock \emph{Generalized Method Of Moments}.
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\newblock Oxford University Press Oxford, 2005.
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Alastair~R. Hall.
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\newblock \emph{{G}eneralized {M}ethod of {M}oments}.
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\newblock Oxford University Press, 2005.
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\bibitem[Hamilton(1994)]{hamilton1994time}
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James~Douglas Hamilton.
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\newblock \emph{Time Series Analysis}, volume~2.
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\newblock \emph{{T}ime {S}eries {A}nalysis}, volume~2.
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\newblock Cambridge University Press, 1994.
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\bibitem[Hansen(1982)]{hansen1982large}
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Lars~Peter Hansen.
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\newblock Large sample properties of generalized method of moments estimators.
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\newblock \emph{Econometrica: Journal Of The Econometric Society}, pages
|
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1029--1054, 1982.
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\newblock {L}arge {S}ample {P}roperties of {G}eneralized {M}ethod of {M}oments
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{E}stimators.
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\newblock \emph{Econometrica}, pages 1029--1054, 1982.
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\bibitem[Henze(1990)]{henze1990approximation}
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||||
N~Henze.
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\newblock An approximation to the limit distribution of the epps-pulley test
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statistic for normality.
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Norbert Henze.
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\newblock {A}n {A}pproximation to the {L}imit {D}istribution of the
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{E}pps-{P}ulley {T}est {S}tatistic for {N}ormality.
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\newblock \emph{Metrika}, 37\penalty0 (1):\penalty0 7--18, 1990.
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|
||||
\bibitem[Heston(1993)]{heston1993closed}
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||||
Steven~L Heston.
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\newblock A closed-form solution for options with stochastic volatility with
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applications to bond and currency options.
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\newblock \emph{Review Of Financial Studies}, 6\penalty0 (2):\penalty0
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Steven~L. Heston.
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\newblock {A} {C}losed-{F}orm {S}olution for {O}ptions with {S}tochastic
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||||
{V}olatility with {A}pplications to {B}ond and {C}urrency {O}ptions.
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\newblock \emph{Review of Financial Studies}, 6\penalty0 (2):\penalty0
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327--343, 1993.
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\bibitem[Hinkley et Revankar(1977)]{hinkley1977estimation}
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David~V Hinkley et Nagesh~S Revankar.
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\newblock Estimation of the pareto law from underreported data: A further
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analysis.
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\newblock \emph{Journal Of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
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David~V. Hinkley et Nagesh~S. Revankar.
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\newblock {E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A}
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{F}urther {A}nalysis.
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\newblock \emph{Journal of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
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\bibitem[Hogg et Craig(1978)]{hogg1978introduction}
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R.V. Hogg et A.T. Craig.
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\newblock \emph{Introduction To Mathematical Statistics}.
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Robert~V. Hogg et Allen Craig.
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\newblock \emph{{I}ntroduction to {M}athematical {S}tatistics}.
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\newblock Macmillan, 1978.
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\newblock ISBN 9780029789902.
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\bibitem[iti Sato(1999)]{sato1999levy}
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||||
Ken iti Sato.
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||||
\newblock \emph{{L}{\'e}vy {P}rocesses and {I}nfinitely {D}ivisible
|
||||
{D}istributions}.
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||||
\newblock Cambridge Studies in Advanced Mathematics. Cambridge University
|
||||
Press, 1999.
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||||
|
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\bibitem[Itkin(2005)]{itkin2005pricing}
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Andrey Itkin.
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||||
\newblock Pricing options with vg model using fft.
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||||
\newblock {P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}.
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||||
\newblock \emph{arXiv preprint physics/0503137}, 2005.
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||||
|
||||
\bibitem[Jingbo~Wang et Marsaglia(2003)]{wang2003evaluating}
|
||||
Wai Wan~Tsang Jingbo~Wang et George Marsaglia.
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\newblock Evaluating kolmogorov's distribution.
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\bibitem[{Jingbo Wang} et Marsaglia(2003)]{wang2003evaluating}
|
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\end{thebibliography}
|
||||
|
|
|
|||
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|
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|||
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|
||||
Doi = "10.1093/biomet/67.1.238",
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||||
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|
||||
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|
||||
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||||
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||||
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|
||||
Year = 1980
|
||||
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|
||||
|
||||
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|
||||
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|
||||
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
|
||||
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|
||||
|
||||
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||||
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|
||||
Author = "{R Core Team}",
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||||
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|
||||
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|
||||
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|
||||
Url = "http://www.R-project.org",
|
||||
Year = 2012
|
||||
}
|
||||
|
||||
@Article{Singer:2009,
|
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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,
|
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Year = 2009
|
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}
|
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|
||||
@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",
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Volume = 55,
|
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Year = 1965
|
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}
|
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|
||||
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|
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|
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Journal = "Notices of the American Mathematical Society",
|
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Number = 11,
|
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Pages = "1336--1347",
|
||||
Title = "{L}{\'e}vy {P}rocesses: {F}rom {P}robability to {F}inance and {Q}uantum {G}roups",
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Volume = 51,
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}
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|
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@Book{bachelier1900theorie,
|
||||
Author = "Louis Bachelier",
|
||||
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|
||||
Title = "{T}h{\'e}orie de la sp{\'e}culation",
|
||||
Year = 1900
|
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}
|
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|
||||
@Book{barndorff2001levy,
|
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Author = "Thomas Mikosch and Sidney I. Resnick and Ole E. Barndorff-Nielsen",
|
||||
Isbn = 9780817641672,
|
||||
Publisher = "Birkh{\"a}user",
|
||||
Title = "{L}{\'e}vy {P}rocesses: {T}heory and {A}pplications",
|
||||
Year = 2001
|
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}
|
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|
||||
@Article{berkson1980minimum,
|
||||
Author = "Joseph Berkson",
|
||||
Journal = "the Annals of Statistics",
|
||||
Pages = "457--487",
|
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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",
|
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Journal = "Journal of Financial Economics",
|
||||
Number = 1,
|
||||
Pages = "167--179",
|
||||
Publisher = "Elsevier",
|
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|
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Volume = 3,
|
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Year = 1976
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}
|
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|
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@Article{buckle1995bayesian,
|
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Author = "D. J. Buckle",
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Journal = "Journal of the American Statistical Association",
|
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Number = 430,
|
||||
Pages = "605--613",
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Publisher = "Taylor \& Francis Group",
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Title = "{B}ayesian {I}nference for {S}table {D}istributions",
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Volume = 90,
|
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Year = 1995
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}
|
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|
||||
@Book{butler2007saddlepoint,
|
||||
Author = "Ronald W. Butler",
|
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Publisher = "Cambridge University Press",
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Title = "{S}addlepoint {A}pproximations with {A}pplications",
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Volume = 22,
|
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}
|
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|
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@Article{carr1999option,
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Author = "Peter P. Carr and Dilip B. Madan",
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Journal = "Journal of Computational Finance",
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Number = 4,
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Pages = "61--73",
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Title = "{O}ption {V}aluation {U}sing the {F}ast {F}ourier {T}ransform",
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}
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@Article{crowder1986consistency,
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Author = "Martin Crowder",
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Journal = "Econometric theory",
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Pages = "305--330",
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Publisher = "JSTOR",
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Title = "{O}n {C}onsistency and {I}nconsistency of {E}stimating {E}quations",
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}
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|
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@Article{crowder1987linear,
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Author = "Martin Crowder",
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Journal = "Biometrika",
|
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Number = 3,
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Pages = "591--597",
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Publisher = "Biometrika Trust",
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Title = "{O}n {L}inear and {Q}uadratic {E}stimating {F}unctions",
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Volume = 74,
|
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Year = 1987
|
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}
|
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|
||||
@Article{daniels1954saddlepoint,
|
||||
Author = "Henry E. Daniels",
|
||||
Journal = "the Annals of Mathematical Statistics",
|
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Pages = "631--650",
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Publisher = "JSTOR",
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Title = "{S}addlepoint {A}pproximations in {S}tatistics",
|
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Year = 1954
|
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}
|
||||
|
||||
@Article{daniels1987tail,
|
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Author = "Henry E. Daniels",
|
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Journal = "international Statistical Review/Revue internationale de Statistique",
|
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Pages = "37--48",
|
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Publisher = "JSTOR",
|
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Title = "{T}ail {P}robability {A}pproximations",
|
||||
Year = 1987
|
||||
}
|
||||
|
||||
@Techreport{derman1996modelrisk,
|
||||
Author = "Emanuel Derman",
|
||||
Institution = "Goldman Sachs",
|
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Title = "{M}odel {R}isk",
|
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Year = 1996
|
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}
|
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|
||||
@Book{dodge2004statistique,
|
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Author = "Yadolah Dodge",
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Publisher = "Springer Verlag France",
|
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Title = "{S}tatistique: {D}ictionnaire Encyclop{\'e}dique",
|
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Year = 2004
|
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}
|
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|
||||
@Article{epps1983test,
|
||||
Author = "Thomas W. Epps and Lawrence B. Pulley",
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Journal = "Biometrika",
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Number = 3,
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Pages = "723--726",
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Publisher = "Biometrika Trust",
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Title = "{A} {T}est for {N}ormality {B}ased on the {E}mpirical {C}haracteristic {F}unction",
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Volume = 70,
|
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Year = 1983
|
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}
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|
||||
@Book{epps2007pricing,
|
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Author = "Thomas W. Epps",
|
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Publisher = "World Scientific Publishing Company incorporated",
|
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Title = "{P}ricing {D}erivative {S}ecurities",
|
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Year = 2007
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}
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|
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@Book{everitt2006cambridge,
|
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Author = "Brian Everitt and Anders Skrondal",
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Publisher = "Cambridge University Press Cambridge",
|
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Title = "{T}he {C}ambridge {D}ictionary of {S}tatistics",
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Volume = 4,
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}
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@Article{fama1993common,
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Author = "Eugene F. Fama and Kenneth R. French",
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Journal = "Journal of Financial Economics",
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Number = 1,
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Pages = "3--56",
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Publisher = "Elsevier",
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Pages = "20--27",
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Publisher = "JSTOR",
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Title = "{O}n the {E}fficiency of {E}mpirical {C}haracteristic {F}unction {P}rocedures",
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Year = 1981
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}
|
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|
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@Article{fox1986large,
|
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Author = "Robert Fox and Murad S. Taqqu",
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Pages = "517--532",
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Publisher = "institute of Mathematical Statistics",
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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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Pages = "481--482",
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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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Title = "{L}arge {S}ample {P}roperties of {G}eneralized {M}ethod of {M}oments {E}stimators",
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}
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Title = "{A}n {A}pproximation to the {L}imit {D}istribution of the {E}pps-{P}ulley {T}est {S}tatistic for {N}ormality",
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Volume = 37,
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Year = 1990
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}
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Title = "{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",
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|
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|
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Pages = "1--11",
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|
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@Book{hogg1978introduction,
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@Book{hull1999options,
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@Article{itkin2005pricing,
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Author = "Andrey Itkin",
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Author = "Samuel Kotz and Tomasz J. Kozubowski and Krzystof Podg{\'o}rski",
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Series = "Progress in Mathematics Series",
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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",
|
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Year = 2001
|
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}
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|
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@Article{kozubowski1999class,
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Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski",
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Journal = "Actuarial Research Clearing House",
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Pages = "113--134",
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Title = "{A} {C}lass of {A}symmetric {D}istributions",
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}
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|
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@Article{kozubowski2001asymmetric,
|
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Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski",
|
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Journal = "{M}athematical and {C}omputer {M}odeling",
|
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Number = 9,
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Pages = "1003--1021",
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Publisher = "Elsevier",
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}
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@Book{kyprianou2007introductory,
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Author = "Andreas E. Kyprianou",
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Publisher = "Springer",
|
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Title = "{I}ntroductory {L}ectures on {F}luctuations of {L}{\'e}vy {P}rocesses with {A}pplications",
|
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}
|
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@Article{lugannani1980saddle,
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Author = "Robert Lugannani and Stephen Rice",
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Journal = "Advances in Applied Probability",
|
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Pages = "475--490",
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||||
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|
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|
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}
|
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|
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@Book{lukacs1960characteristic,
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Author = "Eugene Lukacs",
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Publisher = "Wiley online Library",
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|
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Pages = "511--524",
|
||||
Publisher = "JSTOR",
|
||||
Title = "{T}he {V}ariance {G}amma {M}odel for {S}hare {M}arket {R}eturns",
|
||||
Year = 1990
|
||||
}
|
||||
|
||||
@Article{madan1998variance,
|
||||
Author = "Peter P. Carr and Eric C. Chang and Dilip B. Madan",
|
||||
Journal = "European Finance Review",
|
||||
Number = 1,
|
||||
Pages = "79--105",
|
||||
Publisher = "Kluwer Academic Publishers",
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Title = "{T}he {V}ariance {G}amma {P}rocess and {O}ption {P}ricing",
|
||||
Volume = 2,
|
||||
Year = 1998
|
||||
}
|
||||
|
||||
@Article{mandelbrot1963variation,
|
||||
Author = "Benoit Mandelbrot",
|
||||
Journal = "Journal of Business",
|
||||
Pages = "394--419",
|
||||
Publisher = "University of Chicago Press",
|
||||
Title = "{T}he {V}ariation of {C}ertain {S}peculative {P}rices",
|
||||
Year = 1963
|
||||
}
|
||||
|
||||
@Article{merton1976option,
|
||||
Author = "Robert C. Merton",
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||||
Journal = "Journal of Financial Economics",
|
||||
Number = 1,
|
||||
Pages = "125--144",
|
||||
Publisher = "Elsevier",
|
||||
Title = "{O}ption {P}ricing when {U}nderlying {S}tock {R}eturns {A}re {D}iscontinuous",
|
||||
Volume = 3,
|
||||
Year = 1976
|
||||
}
|
||||
|
||||
@Article{mitchell1916critique,
|
||||
Author = "Wesley C. Mitchell",
|
||||
Journal = "The Journal of Political Economy",
|
||||
Pages = "625--693",
|
||||
Publisher = "JSTOR",
|
||||
Title = "{A} {C}ritique of {I}ndex {N}umbers of the {P}rices of {S}tocks",
|
||||
Year = 1916
|
||||
}
|
||||
|
||||
@Book{musiela2005martingale,
|
||||
Author = "Marek Musiela and Marek Rutkowski",
|
||||
Publisher = "Springer",
|
||||
Title = "{M}artingale {M}ethods in {F}inancial {M}odelling",
|
||||
Volume = 36,
|
||||
Year = 2005
|
||||
}
|
||||
|
||||
@Article{newey1987hypothesis,
|
||||
Author = "Whitney K. Newey and Kenneth D. West",
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||||
Journal = "International Economic Review",
|
||||
Number = 3,
|
||||
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|
||||
Publisher = "JSTOR",
|
||||
Title = "{H}ypothesis {T}esting with {E}fficient {M}ethod of {M}oments {E}stimation",
|
||||
Volume = 28,
|
||||
Year = 1987
|
||||
}
|
||||
|
||||
@Article{newey1994large,
|
||||
Author = "Whitney K. Newey and Daniel McFadden",
|
||||
Journal = "Handbook of Econometrics",
|
||||
Pages = "2111--2245",
|
||||
Publisher = "Elsevier",
|
||||
Title = "{L}arge {S}ample {E}stimation and {H}ypothesis {T}esting",
|
||||
Volume = 4,
|
||||
Year = 1994
|
||||
}
|
||||
|
||||
@Article{praetz1972distribution,
|
||||
Author = "Peter D. Praetz",
|
||||
Journal = "Journal of Business",
|
||||
Pages = "49--55",
|
||||
Publisher = "JSTOR",
|
||||
Title = "{T}he {D}istribution of {S}hare {P}rice {C}hanges",
|
||||
Year = 1972
|
||||
}
|
||||
|
||||
@Article{press1967compound,
|
||||
Author = "S. James Press",
|
||||
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|
||||
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|
||||
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|
||||
Title = "{A} {C}ompound {E}vents {M}odel for {S}ecurity {P}rices",
|
||||
Year = 1967
|
||||
}
|
||||
|
||||
@Article{randal2004non,
|
||||
Author = "John A. Randal and Peter J. Thomson and Martin T. Lally",
|
||||
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|
||||
Number = 4,
|
||||
Pages = "427--440",
|
||||
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||||
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|
||||
Volume = 4,
|
||||
Year = 2004
|
||||
}
|
||||
|
||||
@Book{sato1999levy,
|
||||
Author = "Ken-iti Sato",
|
||||
Isbn = 9780521553025,
|
||||
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
|
||||
}
|
||||
|
||||
@Book{schoutens2003levy,
|
||||
Author = "Wim Schoutens",
|
||||
Publisher = "Wiley",
|
||||
Title = "{L}{\'e}vy {P}rocesses in {F}inance",
|
||||
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|
||||
}
|
||||
|
||||
@Article{seneta2004fitting,
|
||||
Author = "Eugene Seneta",
|
||||
Journal = "Journal of Applied Probability",
|
||||
Pages = "177--187",
|
||||
Publisher = "JSTOR",
|
||||
Title = "{F}itting the {V}ariance {G}amma {M}odel to {F}inancial {D}ata",
|
||||
Year = 2004
|
||||
}
|
||||
|
||||
@Article{shapiro1965analysis,
|
||||
Author = "Samuel Sanford Shapiro and Martin B. Wilk",
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||||
Journal = "Biometrika",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
Volume = 52,
|
||||
Year = 1965
|
||||
}
|
||||
|
||||
@Article{shephard1991characteristic,
|
||||
Author = "Neil G. Shephard",
|
||||
Journal = "Econometric Theory",
|
||||
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|
||||
Pages = "519--529",
|
||||
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|
||||
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|
||||
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|
||||
Year = 1991
|
||||
}
|
||||
|
||||
@Book{spiegel1999schaum,
|
||||
Author = "Murray R. Spiegel and John Liu",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
|
||||
@Book{stuart1987kendall,
|
||||
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|
||||
Publisher = "Oxford University Press, New York",
|
||||
Title = "{K}endall{\rq}s {A}dvanced {T}heory of {S}tatistics, {V}ol. 1",
|
||||
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|
||||
}
|
||||
|
||||
@Unpublished{teschl2004topics,
|
||||
Author = "Gerald Teschl",
|
||||
Title = "{T}opics in {R}eal and {F}unctional {A}nalysis",
|
||||
Year = 2004
|
||||
}
|
||||
|
||||
@Phdthesis{torczon1989multi,
|
||||
Author = "Virginia Joanne Torczon",
|
||||
Title = "{M}ulti-directional {S}earch: {A} {D}irect {S}earch {A}lgorithm for {P}arallel {M}achines",
|
||||
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|
||||
}
|
||||
|
||||
@Inproceedings{walterlevy,
|
||||
Author = "Christian Walter",
|
||||
Booktitle = "Proceedings of the 5th AFIR colloquium",
|
||||
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",
|
||||
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|
||||
}
|
||||
|
||||
@Article{wang2003evaluating,
|
||||
Author = "Wai Wan Tsang {Jingbo Wang} and George Marsaglia",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
|
||||
@Article{wendel1961non,
|
||||
Author = "J. G. Wendel",
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
Title = "{T}he {N}on-{A}bsolute {C}onvergence of {G}il-{P}elaez' {I}nversion {I}ntegral",
|
||||
Volume = 32,
|
||||
Year = 1961
|
||||
}
|
||||
|
||||
@Article{wolfowitz1957minimum,
|
||||
Author = "Jacob Wolfowitz",
|
||||
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|
||||
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|
||||
Publisher = "JSTOR",
|
||||
Title = "{T}he {M}inimum {D}istance {M}ethod",
|
||||
Year = 1957
|
||||
}
|
||||
|
||||
@Book{wooldridge2001econometric,
|
||||
Author = "Jeffrey M. Wooldridge",
|
||||
Publisher = "MIT press",
|
||||
Title = "{E}conometric {A}nalysis of {C}ross {S}ection and {P}anel {D}ata",
|
||||
Year = 2001
|
||||
}
|
||||
|
||||
Loading…
Reference in a new issue