From d4101c37e928681650711e3d49c66cc60b382ffb Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= Date: Sat, 18 Jan 2014 11:18:02 -0500 Subject: [PATCH] Correction de la bibliographie --- memoire/gabarit-maitrise.aux | 50 +- memoire/gabarit-maitrise.bbl | 322 +++++---- memoire/gabarit-maitrise.blg | 40 +- memoire/gabarit-maitrise.log | 25 +- memoire/gabarit-maitrise.pdf | Bin 996850 -> 997001 bytes memoire/memoire.bib | 1160 +++++++++++++++--------------- memoire/memoire.bib~ | 1316 ++++++++++++++++------------------ memoire/memoire.bib~2 | 638 ++++++++++++++++ 8 files changed, 2046 insertions(+), 1505 deletions(-) create mode 100644 memoire/memoire.bib~2 diff --git a/memoire/gabarit-maitrise.aux b/memoire/gabarit-maitrise.aux index bd50c5c..b3da01f 100644 --- a/memoire/gabarit-maitrise.aux +++ b/memoire/gabarit-maitrise.aux @@ -63,12 +63,12 @@ \bibcite{buckle1995bayesian}{{8}{1995}{{Buckle}}{{}}} \bibcite{butler2007saddlepoint}{{9}{2007}{{Butler}}{{}}} \bibcite{carr1999option}{{10}{1999}{{Carr et Madan}}{{}}} -\bibcite{crowder1986consistency}{{11}{1986}{{Crowder}}{{}}} -\bibcite{crowder1987linear}{{12}{1987}{{Crowder}}{{}}} -\bibcite{daniels1954saddlepoint}{{13}{1954}{{Daniels}}{{}}} +\bibcite{madan1998variance}{{11}{1998}{{Carr et~al.}}{{Carr, Chang, et Madan}}} +\bibcite{crowder1986consistency}{{12}{1986}{{Crowder}}{{}}} +\bibcite{crowder1987linear}{{13}{1987}{{Crowder}}{{}}} \@writefile{toc}{\contentsline {chapter}{Bibliographie}{131}{section*.62}} -\bibcite{derman1996modelrisk}{{14}{1996}{{Derman}}{{}}} -\bibcite{madan1998variance}{{15}{1998}{{Dilip B~Madan et Chang}}{{}}} +\bibcite{daniels1954saddlepoint}{{14}{1954}{{Daniels}}{{}}} +\bibcite{derman1996modelrisk}{{15}{1996}{{Derman}}{{}}} \bibcite{dodge2004statistique}{{16}{2004}{{Dodge}}{{}}} \bibcite{epps2007pricing}{{17}{2007}{{Epps}}{{}}} \bibcite{epps1983test}{{18}{1983}{{Epps et Pulley}}{{}}} @@ -85,26 +85,26 @@ \bibcite{heston1993closed}{{29}{1993}{{Heston}}{{}}} \bibcite{hinkley1977estimation}{{30}{1977}{{Hinkley et Revankar}}{{}}} \bibcite{hogg1978introduction}{{31}{1978}{{Hogg et Craig}}{{}}} -\bibcite{itkin2005pricing}{{32}{2005}{{Itkin}}{{}}} -\bibcite{wang2003evaluating}{{33}{2003}{{Jingbo~Wang et Marsaglia}}{{}}} -\bibcite{kotz2001laplace}{{34}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}} -\bibcite{KOUTROUVELIS01011980}{{35}{1980}{{Koutrouvelis}}{{}}} -\bibcite{kozubowski1999class}{{36}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}} -\bibcite{kozubowski2001asymmetric}{{37}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}} -\bibcite{kyprianou2007introductory}{{38}{2007}{{Kyprianou}}{{}}} -\bibcite{lugannani1980saddle}{{39}{1980}{{Lugannani et Rice}}{{}}} -\bibcite{lukacs1960characteristic}{{40}{1960}{{Lukacs}}{{}}} -\bibcite{luong1987minimum}{{41}{1987}{{Luong et Thompson}}{{}}} -\bibcite{madan1990variance}{{42}{1990}{{Madan et Seneta}}{{}}} -\bibcite{mandelbrot1963variation}{{43}{1963}{{Mandelbrot}}{{}}} -\bibcite{merton1976option}{{44}{1976}{{Merton}}{{}}} -\bibcite{mitchell1916critique}{{45}{1916}{{Mitchell}}{{}}} -\bibcite{newey1994large}{{46}{1994}{{Newey et McFadden}}{{}}} -\bibcite{newey1987hypothesis}{{47}{1987}{{Newey et West}}{{}}} -\bibcite{barndorff2001levy}{{48}{2001}{{O.E.E. Barndorff-Nielsen et Resnick}}{{}}} -\bibcite{praetz1972distribution}{{49}{1972}{{Praetz}}{{}}} -\bibcite{press1967compound}{{50}{1967}{{Press}}{{}}} -\bibcite{sato1999levy}{{51}{1999}{{Sato}}{{}}} +\bibcite{sato1999levy}{{32}{1999}{{iti Sato}}{{}}} +\bibcite{itkin2005pricing}{{33}{2005}{{Itkin}}{{}}} +\bibcite{wang2003evaluating}{{34}{2003}{{{Jingbo Wang} et Marsaglia}}{{}}} +\bibcite{kotz2001laplace}{{35}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}} +\bibcite{KOUTROUVELIS01011980}{{36}{1980}{{Koutrouvelis}}{{}}} +\bibcite{kozubowski1999class}{{37}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}} +\bibcite{kozubowski2001asymmetric}{{38}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}} +\bibcite{kyprianou2007introductory}{{39}{2007}{{Kyprianou}}{{}}} +\bibcite{lugannani1980saddle}{{40}{1980}{{Lugannani et Rice}}{{}}} +\bibcite{lukacs1960characteristic}{{41}{1960}{{Lukacs}}{{}}} +\bibcite{luong1987minimum}{{42}{1987}{{Luong et Thompson}}{{}}} +\bibcite{madan1990variance}{{43}{1990}{{Madan et Seneta}}{{}}} +\bibcite{mandelbrot1963variation}{{44}{1963}{{Mandelbrot}}{{}}} +\bibcite{merton1976option}{{45}{1976}{{Merton}}{{}}} +\bibcite{barndorff2001levy}{{46}{2001}{{Mikosch et~al.}}{{Mikosch, Resnick, et Barndorff-Nielsen}}} +\bibcite{mitchell1916critique}{{47}{1916}{{Mitchell}}{{}}} +\bibcite{newey1994large}{{48}{1994}{{Newey et McFadden}}{{}}} +\bibcite{newey1987hypothesis}{{49}{1987}{{Newey et West}}{{}}} +\bibcite{praetz1972distribution}{{50}{1972}{{Praetz}}{{}}} +\bibcite{press1967compound}{{51}{1967}{{Press}}{{}}} \bibcite{schoutens2003levy}{{52}{2003}{{Schoutens}}{{}}} \bibcite{RpackageVarianceGamma}{{53}{2012}{{Scott et Dong}}{{}}} \bibcite{seneta2004fitting}{{54}{2004}{{Seneta}}{{}}} diff --git a/memoire/gabarit-maitrise.bbl b/memoire/gabarit-maitrise.bbl index 37bca0a..63a951f 100644 --- a/memoire/gabarit-maitrise.bbl +++ b/memoire/gabarit-maitrise.bbl @@ -7,355 +7,365 @@ \bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook} Milton Abramowitz et Irene~A. Stegun. -\newblock \emph{Handbook Of Mathematical Functions: With Formulas, Graphs, And - Mathematical Tables}, volume~55. +\newblock \emph{{H}andbook of {M}athematical {F}unctions: with {F}ormulas, + {G}raphs, and {M}athematical {T}ables}, volume~55. \newblock Dover Publications, 1965. \bibitem[Applebaum(2004)]{applebaum2004levy} David Applebaum. -\newblock Lévy processes: From probability to finance and quantum groups. -\newblock \emph{Notices Of The American Mathematical Society}, 51\penalty0 +\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 (11):\penalty0 1336--1347, 2004. \bibitem[Bachelier(1900)]{bachelier1900theorie} Louis Bachelier. -\newblock \emph{Th{\'e}orie De La Sp{\'e}culation}. +\newblock \emph{{T}h{\'e}orie de la sp{\'e}culation}. \newblock Gauthier-Villars, 1900. \bibitem[Berkson(1980)]{berkson1980minimum} Joseph Berkson. -\newblock Minimum chi-square, not maximum likelihood! +\newblock {M}inimum {C}hi-square, not {M}aximum {L}ikelihood! \newblock \emph{The Annals of Statistics}, pages 457--487, 1980. \bibitem[Bingham et Kiesel(2004)]{bingham2004risk} Nicholas~H. Bingham et R{\"u}diger Kiesel. -\newblock \emph{Risk-Neutral Valuation: Pricing And Hedging Of Financial - Derivatives}. +\newblock \emph{{R}isk-Neutral {V}aluation: {P}ricing and {H}edging of + {F}inancial {D}erivatives}. \newblock Springer, 2004. \bibitem[Black(1976)]{black1976pricing} Fischer Black. -\newblock The pricing of commodity contracts. -\newblock \emph{Journal Of Financial Economics}, 3\penalty0 (1):\penalty0 +\newblock {T}he {P}ricing of {C}ommodity {C}ontracts. +\newblock \emph{Journal of Financial Economics}, 3\penalty0 (1):\penalty0 167--179, 1976. \bibitem[Black et Scholes(1973)]{black1973pricing} Fischer Black et Myron Scholes. -\newblock The pricing of options and corporate liabilities. -\newblock \emph{The Journal Of Political Economy}, pages 637--654, 1973. +\newblock {T}he {P}ricing of {O}ptions and {C}orporate {L}iabilities. +\newblock \emph{The Journal of Political Economy}, pages 637--654, 1973. \bibitem[Buckle(1995)]{buckle1995bayesian} D.~J. Buckle. -\newblock Bayesian inference for stable distributions. +\newblock {B}ayesian {I}nference for {S}table {D}istributions. \newblock \emph{Journal of the American Statistical Association}, 90\penalty0 (430):\penalty0 605--613, 1995. \bibitem[Butler(2007)]{butler2007saddlepoint} Ronald~W. Butler. -\newblock \emph{Saddlepoint Approximations With Applications}, volume~22. +\newblock \emph{{S}addlepoint {A}pproximations with {A}pplications}, volume~22. \newblock Cambridge University Press, 2007. \bibitem[Carr et Madan(1999)]{carr1999option} -Peter Carr et Dilip Madan. -\newblock Option valuation using the fast fourier transform. -\newblock \emph{Journal Of Computational Finance}, 2\penalty0 (4):\penalty0 +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 61--73, 1999. +\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. + \bibitem[Crowder(1986)]{crowder1986consistency} Martin Crowder. -\newblock On consistency and inconsistency of estimating equations. +\newblock {O}n {C}onsistency and {I}nconsistency of {E}stimating {E}quations. \newblock \emph{Econometric Theory}, pages 305--330, 1986. \bibitem[Crowder(1987)]{crowder1987linear} Martin Crowder. -\newblock On linear and quadratic estimating functions. +\newblock {O}n {L}inear and {Q}uadratic {E}stimating {F}unctions. \newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987. \bibitem[Daniels(1954)]{daniels1954saddlepoint} -Henry~E Daniels. -\newblock Saddlepoint approximations in statistics. +Henry~E. 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Wooldridge. +\newblock \emph{{E}conometric {A}nalysis of {C}ross {S}ection and {P}anel + {D}ata}. \newblock MIT press, 2001. \end{thebibliography} diff --git a/memoire/gabarit-maitrise.blg b/memoire/gabarit-maitrise.blg index bd296be..645f42e 100644 --- a/memoire/gabarit-maitrise.blg +++ b/memoire/gabarit-maitrise.blg @@ -24,34 +24,34 @@ Database file #1: memoire.bib Warning--empty note in teschl2004topics You've used 63 entries, 2773 wiz_defined-function locations, - 967 strings with 13337 characters, -and the built_in function-call counts, 25248 in all, are: -= -- 2357 -> -- 936 -< -- 83 -+ -- 336 -- -- 273 -* -- 1675 -:= -- 3802 -add.period$ -- 197 + 966 strings with 14129 characters, +and the built_in function-call counts, 25310 in all, are: += -- 2354 +> -- 954 +< -- 81 ++ -- 342 +- -- 279 +* -- 1694 +:= -- 3811 +add.period$ -- 194 call.type$ -- 63 -change.case$ -- 260 +change.case$ -- 262 chr.to.int$ -- 63 cite$ -- 127 -duplicate$ -- 1370 -empty$ -- 2351 -format.name$ -- 388 -if$ -- 5419 +duplicate$ -- 1372 +empty$ -- 2353 +format.name$ -- 390 +if$ -- 5428 int.to.chr$ -- 1 int.to.str$ -- 1 missing$ -- 80 -newline$ -- 329 +newline$ -- 325 num.names$ -- 252 -pop$ -- 586 +pop$ -- 593 preamble$ -- 1 -purify$ -- 217 +purify$ -- 219 quote$ -- 0 -skip$ -- 1045 +skip$ -- 1042 stack$ -- 0 substring$ -- 1128 swap$ -- 192 @@ -62,5 +62,5 @@ type$ -- 593 warning$ -- 1 while$ -- 279 width$ -- 0 -write$ -- 822 +write$ -- 815 (There was 1 warning) diff --git a/memoire/gabarit-maitrise.log b/memoire/gabarit-maitrise.log index d34e55b..17c0a61 100644 --- a/memoire/gabarit-maitrise.log +++ b/memoire/gabarit-maitrise.log @@ -1,4 +1,4 @@ -This is pdfTeX, Version 3.1415926-2.5-1.40.14 (TeX Live 2013/Debian) (format=pdflatex 2013.11.30) 15 JAN 2014 00:47 +This is pdfTeX, Version 3.1415926-2.5-1.40.14 (TeX Live 2013/Debian) (format=pdflatex 2013.11.30) 18 JAN 2014 11:16 entering extended mode restricted \write18 enabled. %&-line parsing enabled. @@ -1944,13 +1944,6 @@ Package amsmath Warning: Foreign command \over; (amsmath) \frac or \genfrac should be used instead (amsmath) on input line 226. - -Overfull \hbox (7.90306pt too wide) in paragraph at lines 229--232 -[]\T1/cmr/m/n/10.95 La sta-tis-tique $[]\OML/cmm/m/it/10.95 D[]$ \T1/cmr/m/n/10 -.95 suit asymp-to-ti-que-ment une dis-tri-bu-tion de Kol-mo-go-rov, se-lon [][] -Jingbo Wang - [] - [84] [85]) [86] \openout2 = `chapitre8.aux'. @@ -2159,7 +2152,7 @@ Underfull \vbox (badness 10000) has occurred while \output is active [] ] [131] [132] [133] -LaTeX Font Info: Try loading font information for T1+cmtt on input line 303. +LaTeX Font Info: Try loading font information for T1+cmtt on input line 308. 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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 +@Comment{x-kbibtex-personnameformatting=<%f ><%l><, %s>} + +@Article{KOUTROUVELIS01011980, + Author = "Ioannis A. Koutrouvelis", + Journal = "{B}iometrika", + Number = 1, + 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 } @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 + 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 + Address = "Vienna, Austria", + Author = "{R Core Team}", + 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 + Author = "Sa\v{s}a Singer and John Nelder", + Journal = "Scholarpedia", + Number = 7, + Pages = 2928, + Publisher = "Scholarpedia", + 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 + 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 + Author = "David Applebaum", + Journal = "Notices of the American Mathematical Society", + Number = 11, + Pages = "1336--1347", + Publisher = "American Mathematical Society", + 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 + 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 + Author = "Thomas Mikosch and Sidney I. Resnick and Ole E. Barndorff-Nielsen", + 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 + Author = "Joseph Berkson", + Journal = "The Annals of Statistics", + Pages = "457--487", + Publisher = "Institute of Mathematical Statistics", + 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 + 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 + Author = "Fischer Black and Myron Scholes", + Journal = "The Journal of Political Economy", + Pages = "637--654", + Publisher = "University of Chicago Press", + 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 + 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. 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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 + Author = "Peter P. Carr and Dilip B. Madan", + Journal = "Journal of Computational Finance", + Number = 4, + Pages = "61--73", + Publisher = "Risk Waters Group", + 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 + Author = "Martin Crowder", + Journal = "Econometric Theory", + Pages = "305--330", + Publisher = "Cambridge University Press", + 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 + 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 + Author = "Henry E. Daniels", + Journal = "The Annals of Mathematical Statistics", + Pages = "631--650", + Publisher = "Institute of Mathematical Statistics", + 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 + Author = "Henry E. Daniels", + Journal = "International Statistical Review/Revue internationale de Statistique", + Pages = "37--48", + Publisher = "Wiley Online Library", + Title = "{T}ail {P}robability {A}pproximations", + Year = 1987 } @Techreport{derman1996modelrisk, - Author = "Emanuel Derman", - Institution = "Goldman Sachs", - Title = "{M}odel {R}isk", - Year = 1996 + 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 + 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 + 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 + 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 + Author = "Brian Everitt and Anders Skrondal", + Publisher = "Cambridge University Press", + Title = "{T}he {C}ambridge {D}ictionary of {S}tatistics", + Volume = 4, + Year = 2006 } @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 + Author = "Eugene F. Fama and Kenneth R. French", + Journal = "Journal of Financial Economics", + Number = 1, + Pages = "3--56", + Publisher = "Elsevier", + Title = "{C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds", + 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}, +@Article{feuerverger1981efficiency, + Author = "Andrey Feuerverger and Philip McDunnough", + Journal = "Journal of the Royal Statistical Society. Series B (methodological)", + Pages = "20--27", + Publisher = "Blackwell Publishing", + 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", + 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", + Pages = "1029--1054", + Publisher = "Wiley-Blackwell", + Title = "{L}arge {S}ample {P}roperties of {G}eneralized {M}ethod of {M}oments {E}stimators", + Year = 1982 +} + +@Article{henze1990approximation, + Author = "Norbert 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 = "Sociery for Financial Studies", + 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", + 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 = "{E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A} {F}urther {A}nalysis", + Volume = 5, + Year = 1977 +} + +@Book{hogg1978introduction, + Author = "Robert V. Hogg and Allen Craig", + Publisher = "Macmillan", + Title = "{I}ntroduction to {M}athematical {S}tatistics", + Year = 1978 +} + +@Book{hull1999options, + Author = "John C. Hull", + Publisher = "Pearson Education", + Title = "{O}ptions, {F}utures, and {O}ther {D}erivatives", + Year = 1999 +} + +@Article{itkin2005pricing, + Author = "Andrey Itkin", + Journal = "arXiv preprint physics/0503137", + Publisher = "arXiv", + Title = "{P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}", + Year = 2005 +} + +@Book{kotz2001laplace, + 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 +} + +@Article{kozubowski1999class, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "Actuarial Research Clearing House", + Pages = "113--134", + Publisher = "SOA Education and Research", + Title = "{A} {C}lass of {A}symmetric {D}istributions", + Volume = 1, + Year = 1999 +} + +@Article{kozubowski2001asymmetric, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "{M}athematical and {C}omputer {M}odeling", + Number = 9, + Pages = "1003--1021", + Publisher = "Elsevier", + Title = "{A}symmetric {L}aplace {L}aws and {M}odeling {F}inancial {D}ata", + Volume = 34, + Year = 2001 +} + +@Book{kyprianou2007introductory, + 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 +} + +@Article{lugannani1980saddle, + Author = "Robert Lugannani and Stephen Rice", + Journal = "Advances in Applied Probability", + Pages = "475--490", + Publisher = "Applied Probability Trust", + Title = "{S}addle {P}oint {A}pproximation for the {D}istribution of the {S}um of {I}ndependent {R}andom {V}ariables", + Year = 1980 +} + +@Book{lukacs1960characteristic, + Author = "Eugene Lukacs", + Publisher = "Griffin London", + Title = "{C}haracteristic {F}unctions", + 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 = "{M}inimum-{D}istance {M}ethods {B}ased on {Q}uadratic {D}istances for {T}ransforms", + Volume = 15, + Year = 1987 +} + +@Article{madan1990variance, + Author = "Dilip B. Madan and Eugene Seneta", + Journal = "Journal of Business", + Pages = "511--524", + Publisher = "University of Chicago Press", + 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", + 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", + 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 = "University of Chicago Press", + 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", + Journal = "International Economic Review", + Number = 3, + Pages = "777--787", + Publisher = "Blackwell Publishing ", + 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 = "University of Chicago Press", + Title = "{T}he {D}istribution of {S}hare {P}rice {C}hanges", + Year = 1972 +} + +@Article{press1967compound, + Author = "S. James Press", + Journal = "Journal of Business", + Pages = "317--335", + Publisher = "University of Chicago Press", + 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", + Journal = "Quantitative Finance", + Number = 4, + Pages = "427--440", + Publisher = "Taylor \& Francis Group", + Title = "{N}on-parametric {E}stimation of {H}istorical {V}olatility", + Volume = 4, + Year = 2004 +} + +@Book{sato1999levy, + Author = "Ken-iti Sato", + 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", + Year = 2003 +} + +@Article{seneta2004fitting, + Author = "Eugene Seneta", + Journal = "Journal of Applied Probability", + Pages = "177--187", + Publisher = "Applied Probability Trust", + 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", + Journal = "Biometrika", + Number = "3/4", + Pages = "591--611", + Publisher = "Biometrika Trust", + Title = "{A}n {A}nalysis of {V}ariance {T}est for {N}ormality ({C}omplete {S}amples)", + Volume = 52, + Year = 1965 +} + +@Article{shephard1991characteristic, + Author = "Neil G. Shephard", + Journal = "Econometric Theory", + Number = 04, + Pages = "519--529", + Publisher = "Cambridge University Press", + Title = "{F}rom {C}haracteristic {F}unction to {D}istribution {F}unction: {A} {S}imple {F}ramework for the {T}heory", + Volume = 7, + Year = 1991 +} + +@Book{spiegel1999schaum, + Author = "Murray R. Spiegel and John Liu", + Publisher = "McGraw-Hill", + Title = "{S}chaum's {M}athematical {H}andbook of {F}ormulas and {T}ables", + Volume = 1000, + Year = 1999 +} + +@Book{stuart1987kendall, + 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 +} + +@Unpublished{teschl2004topics, + Author = "Gerald Teschl", + Title = "{T}opics in {R}eal and {F}unctional {A}nalysis", + Url = "http://www.mat.univie.ac.at/~gerald/ftp/book-fa/index.html", + 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", + Year = 1989 +} + +@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 +} + +@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 +} + +@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 +} + +@Article{wolfowitz1957minimum, + 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 +} + +@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 +} + diff --git a/memoire/memoire.bib~ b/memoire/memoire.bib~ index 7e536df..7a26c50 100644 --- a/memoire/memoire.bib~ +++ b/memoire/memoire.bib~ @@ -1,697 +1,631 @@ -@article{KOUTROUVELIS01011980, - author = {Koutrouvelis, I. A.}, - title = {A goodness-of-fit test of simple hypotheses based on - the empirical characteristic function}, - volume = 67, - number = 1, - pages = {238-240}, - year = 1980, - doi = {10.1093/biomet/67.1.238}, - abstract = {SUMMARY The empirical characteristic function φn(t) - and its asymptotic distribution are utilized to find - a chi-squared goodness-of-fit test for simple null - hypotheses. In addition the optimum number and - location of points t at which φn(t) has to be - evaluated is investigated for specified alternative - hypotheses.}, - URL = - {http://biomet.oxfordjournals.org/content/67/1/238.abstract}, - eprint = - {http://biomet.oxfordjournals.org/content/67/1/238.full.pdf+html}, - journal = {Biometrika} +@Comment{x-kbibtex-personnameformatting=<%f ><%l><, %s>} + +@Article{KOUTROUVELIS01011980, + Author = "Ioannis A. Koutrouvelis", + Journal = "{B}iometrika", + Number = 1, + Pages = "238--240", + 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 } @Manual{RpackageVarianceGamma, - title = {VarianceGamma: The Variance Gamma Distribution}, - author = {David Scott and Christine Yang Dong}, - year = 2012, - note = {R package version 0.3-1}, - url = {http://CRAN.R-project.org/package=VarianceGamma}, + 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, - title = {R: A Language and Environment for Statistical - Computing}, - author = {{R Core Team}}, - organization = {R Foundation for Statistical Computing}, - address = {Vienna, Austria}, - year = 2012, - note = {{ISBN} 3-900051-07-0}, - url = {http://www.R-project.org/}, -} - -@ARTICLE{Singer:2009, - AUTHOR = {Singer, S. and Nelder, J. }, - TITLE = {Nelder-Mead algorithm}, - YEAR = 2009, - JOURNAL = {Scholarpedia}, - VOLUME = 4, - NUMBER = 7, - PAGES = 2928, - URL = {http://dx.doi.org/10.4249/scholarpedia.2928} -} - -@book{abramowitz1965handbook, - title = {Handbook of mathematical functions: with formulas, - graphs, and mathematical tables}, - author = {Abramowitz, Milton and Stegun, Irene A}, - volume = 55, - year = 1965, - publisher = {Dover publications} -} - -@article{applebaum2004levy, - title = {L{\'e}vy processes: From probability to finance and - quantum groups}, - author = {Applebaum, David}, - journal = {Notices of the AMS}, - volume = 51, - number = 11, - pages = {1336--1347}, - year = 2004 -} - -@book{bachelier1900theorie, - title = {Th{\'e}orie de la sp{\'e}culation}, - author = {Bachelier, Louis}, - year = 1900, - publisher = {Gauthier-Villars} -} - -@book{barndorff2001levy, - title = {L{\'e}vy Processes: Theory and Applications}, - author = {Barndorff-Nielsen, O.E.E. and Mikosch, T.E. and - Resnick, S.I.E.}, - isbn = 9780817641672, - lccn = {lc00068064}, - url = {http://books.google.ca/books?id=ExpTdTauXMwC}, - year = 2001, - publisher = {Birkhäuser} -} - -@article{berkson1980minimum, - title = {Minimum chi-square, not maximum likelihood!}, - author = {Berkson, Joseph}, - journal = {The Annals of Statistics}, - pages = {457--487}, - year = 1980, - publisher = {JSTOR} -} - -@book{bingham2004risk, - title = {Risk-neutral valuation: Pricing and hedging of - financial derivatives}, - author = {Bingham, Nicholas H and Kiesel, R{\"u}diger}, - year = 2004, - publisher = {Springer} -} - -@article{black1973pricing, - title = {The pricing of options and corporate liabilities}, - author = {Black, Fischer and Scholes, Myron}, - journal = {The journal of political economy}, - pages = {637--654}, - year = 1973, - publisher = {JSTOR} -} - -@article{black1976pricing, - title = {The pricing of commodity contracts}, - author = {Black, Fischer}, - journal = {Journal of financial economics}, - volume = 3, - number = 1, - pages = {167--179}, - year = 1976, - publisher = {Elsevier} -} - -@article{buckle1995bayesian, - title = {Bayesian inference for stable distributions}, - author = {Buckle, DJ}, - journal = {Journal of the American Statistical Association}, - volume = 90, - number = 430, - pages = {605--613}, - year = 1995, - publisher = {Taylor \& Francis Group} -} - -@book{butler2007saddlepoint, - title = {Saddlepoint approximations with applications}, - author = {Butler, Ronald W}, - volume = 22, - year = 2007, - publisher = {Cambridge University Press} -} - -@article{carr1999option, - title = {Option valuation using the fast Fourier transform}, - author = {Carr, Peter and Madan, Dilip}, - journal = {Journal of Computational Finance}, - volume = 2, - number = 4, - pages = {61--73}, - year = 1999 -} - -@article{crowder1986consistency, - title = {On consistency and inconsistency of estimating - equations}, - author = {Crowder, Martin}, - journal = {Econometric Theory}, - pages = {305--330}, - year = 1986, - publisher = {JSTOR} -} - -@article{crowder1987linear, - title = {On linear and quadratic estimating functions}, - author = {Crowder, Martin}, - journal = {Biometrika}, - volume = 74, - number = 3, - pages = {591--597}, - year = 1987, - publisher = {Biometrika Trust} -} - -@article{daniels1954saddlepoint, - title = {Saddlepoint approximations in statistics}, - author = {Daniels, Henry E}, - journal = {The Annals of Mathematical Statistics}, - pages = {631--650}, - year = 1954, - publisher = {JSTOR} -} - -@article{daniels1987tail, - title = {Tail probability approximations}, - author = {Daniels, Henry E}, - journal = {International Statistical Review/Revue - Internationale de Statistique}, - pages = {37--48}, - year = 1987, - publisher = {JSTOR} -} - -@TechReport{derman1996modelrisk, - author = {Derman, Emanuel}, - title = {Model Risk}, - institution = {Goldman Sachs}, - year = 1996 -} - -@book{dodge2004statistique, - title = {Statistique: dictionnaire encyclop{\'e}dique}, - author = {Dodge, Yadolah}, - year = 2004, - publisher = {Springer Verlag France} -} - -@article{epps1983test, - title = {A test for normality based on the empirical - characteristic function}, - author = {Epps, Thomas W and Pulley, Lawrence B}, - journal = {Biometrika}, - volume = 70, - number = 3, - pages = {723--726}, - year = 1983, - publisher = {Biometrika Trust} -} - -@book{epps2007pricing, - title = {Pricing derivative securities}, - author = {Epps, Thomas W}, - year = 2007, - publisher = {World Scientific Publishing Company Incorporated} -} - -@book{everitt2006cambridge, - title = {The Cambridge dictionary of statistics}, - author = {Everitt, Brian and Skrondal, Anders}, - volume = 4, - year = 2006, - publisher = {Cambridge University Press Cambridge} -} - -@article{feuerverger1981efficiency, - title = {On the efficiency of empirical characteristic - function procedures}, - author = {Feuerverger, Andrey and McDunnough, Philip}, - journal = {Journal of the Royal Statistical Society. Series B - (Methodological)}, - pages = {20--27}, - year = 1981, - publisher = {JSTOR} -} - -@article{fox1986large, - title = {Large-sample properties of parameter estimates for - strongly dependent stationary Gaussian time series}, - author = {Fox, Robert and Taqqu, Murad S}, - journal = {The Annals of Statistics}, - volume = 14, - number = 2, - pages = {517--532}, - year = 1986, - publisher = {Institute of Mathematical Statistics} -} - -@article{gil1951note, - title = {Note on the inversion theorem}, - author = {Gil-Pelaez, J}, - journal = {Biometrika}, - volume = 38, - number = {3-4}, - pages = {481--482}, - year = 1951, - publisher = {Biometrika Trust} -} - -@book{gourieroux1989statistique, - title = {Statistique et mod{\`e}les {\'e}conom{\'e}triques: - Notions g{\'e}n{\'e}rales, estimation, - pr{\'e}vision, algorithmes}, - author = {Gourieroux, Christian and Monfort, Alain}, - volume = 1, - year = 1989, - publisher = {Economica} -} - -@book{hall2005generalized, - title = {Generalized method of moments}, - author = {Hall, Alastair R}, - year = 2005, - publisher = {Oxford University Press Oxford} -} - -@book{hamilton1994time, - title = {Time series analysis}, - author = {Hamilton, James Douglas}, - volume = 2, - year = 1994, - publisher = {Cambridge Univ Press} -} - -@article{hansen1982large, - title = {Large sample properties of generalized method of - moments estimators}, - author = {Hansen, Lars Peter}, - journal = {Econometrica: Journal of the Econometric Society}, - pages = {1029--1054}, - year = 1982, - publisher = {JSTOR} -} - -@article{henze1990approximation, - title = {An approximation to the limit distribution of the - Epps-Pulley test statistic for normality}, - author = {Henze, N}, - journal = {Metrika}, - volume = 37, - number = 1, - pages = {7--18}, - year = 1990, - publisher = {Springer} -} - -@article{heston1993closed, - title = {A closed-form solution for options with stochastic - volatility with applications to bond and currency - options}, - author = {Heston, Steven L}, - journal = {Review of financial studies}, - volume = 6, - number = 2, - pages = {327--343}, - year = 1993, - publisher = {Soc Financial Studies} -} - -@article{hinkley1977estimation, - title = {Estimation of the Pareto law from underreported - data: A further analysis}, - author = {Hinkley, David V and Revankar, Nagesh S}, - journal = {Journal of Econometrics}, - volume = 5, - number = 1, - pages = {1--11}, - year = 1977, - publisher = {Elsevier} -} - -@book{hogg1978introduction, - title = {Introduction to mathematical statistics}, - author = {Hogg, R.V. and Craig, A.T.}, - isbn = 9780029789902, - lccn = 77002884, - url = {http://books.google.ca/books?id=OZYQAQAAIAAJ}, - year = 1978, - publisher = {Macmillan} -} - -@book{hull1999options, - title = {Options, futures, and other derivatives}, - author = {Hull, John C}, - year = 1999, - publisher = {Pearson Education India} -} - -@article{itkin2005pricing, - title = {Pricing options with VG model using FFT}, - author = {Itkin, Andrey}, - journal = {arXiv preprint physics/0503137}, - year = 2005 -} - -@book{kotz2001laplace, - title = {The Laplace Distribution and Generalizations: A - Revisit With Applications to Communications, - Exonomics, Engineering, and Finance}, - author = {Kotz, S. and Kozubowski, T.J. and Podg{\'o}rski, K.}, - isbn = 9780817641665, - lccn = 00068900, - series = {Progress in Mathematics Series}, - url = {http://books.google.ca/books?id=cb8B07hwULUC}, - year = 2001, - publisher = {Birkh{\"a}user} -} - -@article{kozubowski1999class, - title = {A class of asymmetric distributions}, - author = {Kozubowski, Tomasz J and Podg{\'o}rski, Krzysztof}, - journal = {Actuarial Research Clearing House}, - volume = 1, - pages = {113--134}, - year = 1999, - publisher = {Citeseer} -} - -@article{kozubowski2001asymmetric, - title = {Asymmetric Laplace laws and modeling financial data}, - author = {Kozubowski, Tomasz J and Podg{\'o}rski, Krzysztof}, - journal = {Mathematical and computer modelling}, - volume = 34, - number = 9, - pages = {1003--1021}, - year = 2001, - publisher = {Elsevier} -} - -@book{kyprianou2007introductory, - title = {Introductory lectures on fluctuations of L{\'e}vy - processes with applications}, - author = {Kyprianou, Andreas E}, - year = 2007, - publisher = {Springer} -} - -@article{lugannani1980saddle, - title = {Saddle point approximation for the distribution of - the sum of independent random variables}, - author = {Lugannani, Robert and Rice, Stephen}, - journal = {Advances in applied probability}, - pages = {475--490}, - year = 1980, - publisher = {JSTOR} -} - -@book{lukacs1960characteristic, - title = {Characteristic functions}, - author = {Lukacs, Eugene}, - volume = 4, - year = 1960, - publisher = {Griffin London} -} - -@article{luong1987minimum, - title = {Minimum-distance methods based on quadratic - distances for transforms}, - author = {Luong, A and Thompson, ME}, - journal = {Canadian Journal of Statistics}, - volume = 15, - number = 3, - pages = {239--251}, - year = 1987, - publisher = {Wiley Online Library} -} - -@article{madan1990variance, - title = {The variance gamma (VG) model for share market - returns}, - author = {Madan, Dilip B and Seneta, Eugene}, - journal = {Journal of business}, - pages = {511--524}, - year = 1990, - publisher = {JSTOR} -} - -@article{madan1998variance, - title = {The variance gamma process and option pricing}, - author = {Madan, Dilip B and Carr, Peter P and Chang, Eric C}, - journal = {European Finance Review}, - volume = 2, - number = 1, - pages = {79--105}, - year = 1998, - publisher = {Kluwer Academic Publishers} -} - -@article{mandelbrot1963variation, - title = {The variation of certain speculative prices}, - author = {Mandelbrot, B.}, - journal = {Journal of business}, - pages = {394--419}, - year = 1963, - publisher = {University of Chicago Press} -} - -@article{merton1976option, - title = {Option pricing when underlying stock returns are - discontinuous}, - author = {Merton, Robert C}, - journal = {Journal of financial economics}, - volume = 3, - number = 1, - pages = {125--144}, - year = 1976, - publisher = {Elsevier} -} - -@article{mitchell1916critique, - title = {A critique of index numbers of the prices of stocks}, - author = {Mitchell, Wesley C}, - journal = {The Journal of Political Economy}, - pages = {625--693}, - year = 1916, - publisher = {JSTOR} -} - -@book{musiela2005martingale, - title = {Martingale methods in financial modelling}, - author = {Musiela, Marek and Rutkowski, Marek}, - volume = 36, - year = 2005, - publisher = {Springer} -} - -@article{newey1987hypothesis, - title = {Hypothesis testing with efficient method of moments - estimation}, - author = {Newey, Whitney K and West, Kenneth D}, - journal = {International Economic Review}, - volume = 28, - number = 3, - pages = {777--787}, - year = 1987, - publisher = {JSTOR} -} - -@article{newey1994large, - title = {Large sample estimation and hypothesis testing}, - author = {Newey, Whitney K and McFadden, Daniel}, - journal = {Handbook of econometrics}, - volume = 4, - pages = {2111--2245}, - year = 1994, - publisher = {Elsevier} -} - -@article{praetz1972distribution, - title = {The distribution of share price changes}, - author = {Praetz, Peter D}, - journal = {Journal of business}, - pages = {49--55}, - year = 1972, - publisher = {JSTOR} -} - -@article{press1967compound, - title = {A compound events model for security prices}, - author = {Press, S James}, - journal = {Journal of Business}, - pages = {317--335}, - year = 1967, - publisher = {JSTOR} -} - -@article{randal2004non, - title = {Non-parametric estimation of historical volatility}, - author = {Randal, John A and Thomson, Peter J and Lally, - Martin T}, - journal = {Quantitative Finance}, - volume = 4, - number = 4, - pages = {427--440}, - year = 2004, - publisher = {Taylor \& Francis} -} - -@book{sato1999levy, - title = {L{\'e}vy Processes and Infinitely Divisible - Distributions}, - author = {Sato, K.}, - isbn = 9780521553025, - lccn = 99015232, - series = {Cambridge Studies in Advanced Mathematics}, - url = {http://books.google.ca/books?id=CwT5BNG0-owC}, - year = 1999, - publisher = {Cambridge University Press} -} - -@book{schoutens2003levy, - title = {L{\'e}vy processes in Finance}, - author = {Schoutens, Wim}, - year = 2003, - publisher = {Wiley} -} - -@article{seneta2004fitting, - title = {Fitting the variance-gamma model to financial data}, - author = {Seneta, Eugene}, - journal = {Journal of Applied Probability}, - pages = {177--187}, - year = 2004, - publisher = {JSTOR} -} - -@article{shapiro1965analysis, - title = {An analysis of variance test for normality (complete - samples)}, - author = {Shapiro, Samuel Sanford and Wilk, Martin B}, - journal = {Biometrika}, - volume = 52, - number = {3/4}, - pages = {591--611}, - year = 1965, - publisher = {JSTOR} -} - -@article{shephard1991characteristic, - title = {From characteristic function to distribution - function: a simple framework for the theory}, - author = {Shephard, Neil G}, - journal = {Econometric Theory}, - volume = 7, - number = 04, - pages = {519--529}, - year = 1991, - publisher = {Cambridge Univ Press} -} - -@book{spiegel1999schaum, - title = {Schaum's mathematical handbook of formulas and - tables}, - author = {Spiegel, Murray R and Liu, John}, - volume = 1000, - year = 1999, - publisher = {McGraw-Hill} -} - -@book{stuart1987kendall, - title = {Kendall’s advanced theory of statistics, Vol. 1}, - author = {Stuart, Alan and Ord, J Keith}, - year = 1987, - publisher = {Oxford University Press, New York} -} - -@Manual{thevolskew, - title = {The Volatility Skew}, - author = {Alan Verga}, - year = 2013, - url = {http://www.thevolatilityskew.com} -} - -@phdthesis{torczon1989multi, - title = {Multi-directional search: a direct search algorithm - for parallel machines}, - author = {Torczon, Virginia Joanne}, - year = 1989, - school = {Citeseer} -} - -@article{wang2003evaluating, - title = {Evaluating Kolmogorov's distribution}, - author = {Wang, Jingbo and Tsang, Wai Wan and Marsaglia, - George}, - journal = {Journal of Statistical Software}, - volume = 8, - number = 18, - pages = {1--4}, - year = 2003, - publisher = {American Statistical Association} -} - -@article{wendel1961non, - title = {The non-absolute convergence of Gil-Pelaez'inversion - integral}, - author = {Wendel, JG}, - journal = {The Annals of Mathematical Statistics}, - volume = 32, - number = 1, - pages = {338--339}, - year = 1961, - publisher = {Institute of Mathematical Statistics} -} - -@article{teschl2004topics, - title={Topics in Real and Functional analysis}, - author={Teschl, Gerald}, - journal={unpublished, available online at \url{http://www.mat.univie.ac.at/\~gerald}}, - year={2004} -} - -@article{wolfowitz1957minimum, - title = {The minimum distance method}, - author = {Wolfowitz, Jacob}, - journal = {The Annals of Mathematical Statistics}, - pages = {75--88}, - year = 1957, - publisher = {JSTOR} -} - -@book{wooldridge2001econometric, - title = {Econometric analysis of cross section and panel - data}, - author = {Wooldridge, Jeffrey M}, - year = 2001, - publisher = {MIT press} -} - -@article{fama1993common, - title={Common risk factors in the returns on stocks and bonds}, - author={Fama, Eugene F and French, Kenneth R}, - journal={Journal of financial economics}, - volume={33}, - number={1}, - pages={3--56}, - year={1993}, - publisher={Elsevier} -} - -@inproceedings{walterlevy, - title={Levy-stability-under-addition and fractal structure of markets: imlications for the actuaries and emphasized axamination of MATIF national contract}, - author={Walter, Christian} -} \ No newline at end of file + Address = "Vienna, Austria", + Author = "{R Core Team}", + 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", + 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 = "Thomas Mikosch and Sidney I. Resnick and Ole E. Barndorff-Nielsen", + 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 P. Carr and Dilip B. 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{fama1993common, + Author = "Eugene F. Fama and Kenneth R. French", + Journal = "Journal of Financial Economics", + Number = 1, + Pages = "3--56", + Publisher = "Elsevier", + Title = "{C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds", + Volume = 33, + Year = 1993 +} + +@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 = "Norbert 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} {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", + 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 = "{E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A} {F}urther {A}nalysis", + Volume = 5, + Year = 1977 +} + +@Book{hogg1978introduction, + Author = "Robert V. Hogg and Allen Craig", + Publisher = "Macmillan", + Title = "{I}ntroduction to {M}athematical {S}tatistics", + Year = 1978 +} + +@Book{hull1999options, + Author = "John C. Hull", + Publisher = "Pearson Education india", + Title = "{O}ptions, {F}utures, and {O}ther {D}erivatives", + Year = 1999 +} + +@Article{itkin2005pricing, + Author = "Andrey Itkin", + Journal = "arXiv preprint physics/0503137", + Title = "{P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}", + Year = 2005 +} + +@Book{kotz2001laplace, + 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 +} + +@Article{kozubowski1999class, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "Actuarial Research Clearing House", + Pages = "113--134", + Publisher = "Citeseer", + Title = "{A} {C}lass of {A}symmetric {D}istributions", + Volume = 1, + Year = 1999 +} + +@Article{kozubowski2001asymmetric, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "{M}athematical and {C}omputer {M}odeling", + Number = 9, + Pages = "1003--1021", + Publisher = "Elsevier", + Title = "{A}symmetric {L}aplace {L}aws and {M}odeling {F}inancial {D}ata", + Volume = 34, + Year = 2001 +} + +@Book{kyprianou2007introductory, + 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 +} + +@Article{lugannani1980saddle, + Author = "Robert Lugannani and Stephen Rice", + Journal = "Advances in Applied Probability", + Pages = "475--490", + Publisher = "JSTOR", + Title = "{S}addle {P}oint {A}pproximation for the {D}istribution of the {S}um of {I}ndependent {R}andom {V}ariables", + Year = 1980 +} + +@Book{lukacs1960characteristic, + Author = "Eugene Lukacs", + Publisher = "Griffin London", + Title = "{C}haracteristic {F}unctions", + 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 = "{M}inimum-{D}istance {M}ethods {B}ased on {Q}uadratic {D}istances for {T}ransforms", + Volume = 15, + Year = 1987 +} + +@Article{madan1990variance, + Author = "Dilip B. Madan and Eugene Seneta", + Journal = "Journal of Business", + 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", + 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", + 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", + Journal = "International Economic Review", + Number = 3, + Pages = "777--787", + 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", + Journal = "Journal of Business", + Pages = "317--335", + Publisher = "JSTOR", + 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", + Journal = "Quantitative Finance", + Number = 4, + Pages = "427--440", + Publisher = "Taylor \& Francis", + Title = "{N}on-parametric {E}stimation of {H}istorical {V}olatility", + Volume = 4, + Year = 2004 +} + +@Book{sato1999levy, + Author = "Ken-iti Sato", + 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", + Year = 2003 +} + +@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", + Journal = "Biometrika", + Number = "3/4", + Pages = "591--611", + Publisher = "JSTOR", + Title = "{A}n {A}nalysis of {V}ariance {T}est for {N}ormality ({C}omplete {S}amples)", + Volume = 52, + Year = 1965 +} + +@Article{shephard1991characteristic, + Author = "Neil G. Shephard", + Journal = "Econometric Theory", + Number = 04, + Pages = "519--529", + Publisher = "Cambridge Univ Press", + Title = "{F}rom {C}haracteristic {F}unction to {D}istribution {F}unction: {A} {S}imple {F}ramework for the {T}heory", + Volume = 7, + Year = 1991 +} + +@Book{spiegel1999schaum, + Author = "Murray R. Spiegel and John Liu", + Publisher = "McGraw-Hill", + Title = "{S}chaum's {M}athematical {H}andbook of {F}ormulas and {T}ables", + Volume = 1000, + Year = 1999 +} + +@Book{stuart1987kendall, + Author = "Alan Stuart and J. Keith Ord", + Publisher = "Oxford University Press, New York", + Title = "{K}endall{\rq}s {A}dvanced {T}heory of {S}tatistics, {V}ol. 1", + Year = 1987 +} + +@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", + Year = 1989 +} + +@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", + Year = 1995 +} + +@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 +} + +@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 +} + +@Article{wolfowitz1957minimum, + Author = "Jacob Wolfowitz", + Journal = "The Annals of Mathematical Statistics", + Pages = "75--88", + 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 +} + diff --git a/memoire/memoire.bib~2 b/memoire/memoire.bib~2 new file mode 100644 index 0000000..65fab64 --- /dev/null +++ b/memoire/memoire.bib~2 @@ -0,0 +1,638 @@ +@Comment{x-kbibtex-personnameformatting=<%f ><%l><, %s>} + +@Article{KOUTROUVELIS01011980, + Author = "Ioannis A. Koutrouvelis", + Doi = "10.1093/biomet/67.1.238", + Journal = "{B}iometrika", + Number = 1, + Pages = "238--240", + 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 +} + +@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 = "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 +} + +@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 P. Carr and Dilip B. 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{fama1993common, + Author = "Eugene F. Fama and Kenneth R. French", + Journal = "Journal of Financial Economics", + Number = 1, + Pages = "3--56", + Publisher = "Elsevier", + Title = "{C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds", + Volume = 33, + Year = 1993 +} + +@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 = "Norbert 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} {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", + 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 = "{E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A} {F}urther {A}nalysis", + Volume = 5, + Year = 1977 +} + +@Book{hogg1978introduction, + Author = "Robert V. Hogg and Allen Craig", + Isbn = 9780029789902, + Publisher = "Macmillan", + Title = "{I}ntroduction to {M}athematical {S}tatistics", + Year = 1978 +} + +@Book{hull1999options, + Author = "John C. Hull", + Publisher = "Pearson Education india", + Title = "{O}ptions, {F}utures, and {O}ther {D}erivatives", + Year = 1999 +} + +@Article{itkin2005pricing, + Author = "Andrey Itkin", + Journal = "arXiv preprint physics/0503137", + Title = "{P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}", + Year = 2005 +} + +@Book{kotz2001laplace, + Author = "Samuel Kotz and Tomasz J. Kozubowski and Krzystof Podg{\'o}rski", + Isbn = 9780817641665, + 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 +} + +@Article{kozubowski1999class, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "Actuarial Research Clearing House", + Pages = "113--134", + Publisher = "Citeseer", + Title = "{A} {C}lass of {A}symmetric {D}istributions", + Volume = 1, + Year = 1999 +} + +@Article{kozubowski2001asymmetric, + Author = "Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski", + Journal = "{M}athematical and {C}omputer {M}odeling", + Number = 9, + Pages = "1003--1021", + Publisher = "Elsevier", + Title = "{A}symmetric {L}aplace {L}aws and {M}odeling {F}inancial {D}ata", + Volume = 34, + Year = 2001 +} + +@Book{kyprianou2007introductory, + 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 +} + +@Article{lugannani1980saddle, + Author = "Robert Lugannani and Stephen Rice", + Journal = "Advances in Applied Probability", + Pages = "475--490", + Publisher = "JSTOR", + Title = "{S}addle {P}oint {A}pproximation for the {D}istribution of the {S}um of {I}ndependent {R}andom {V}ariables", + Year = 1980 +} + +@Book{lukacs1960characteristic, + Author = "Eugene Lukacs", + Publisher = "Griffin London", + Title = "{C}haracteristic {F}unctions", + 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 = "{M}inimum-{D}istance {M}ethods {B}ased on {Q}uadratic {D}istances for {T}ransforms", + Volume = 15, + Year = 1987 +} + +@Article{madan1990variance, + Author = "Dilip B. Madan and Eugene Seneta", + Journal = "Journal of Business", + 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", + 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", + 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", + Journal = "International Economic Review", + Number = 3, + Pages = "777--787", + 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", + Journal = "Journal of Business", + Pages = "317--335", + Publisher = "JSTOR", + 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", + Journal = "Quantitative Finance", + Number = 4, + Pages = "427--440", + Publisher = "Taylor \& Francis", + Title = "{N}on-parametric {E}stimation of {H}istorical {V}olatility", + 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", + Year = 2003 +} + +@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", + Journal = "Biometrika", + Number = "3/4", + Pages = "591--611", + Publisher = "JSTOR", + Title = "{A}n {A}nalysis of {V}ariance {T}est for {N}ormality ({C}omplete {S}amples)", + Volume = 52, + Year = 1965 +} + +@Article{shephard1991characteristic, + Author = "Neil G. Shephard", + Journal = "Econometric Theory", + Number = 04, + Pages = "519--529", + Publisher = "Cambridge Univ Press", + Title = "{F}rom {C}haracteristic {F}unction to {D}istribution {F}unction: {A} {S}imple {F}ramework for the {T}heory", + Volume = 7, + Year = 1991 +} + +@Book{spiegel1999schaum, + Author = "Murray R. Spiegel and John Liu", + Publisher = "McGraw-Hill", + Title = "{S}chaum's {M}athematical {H}andbook of {F}ormulas and {T}ables", + Volume = 1000, + Year = 1999 +} + +@Book{stuart1987kendall, + Author = "Alan Stuart and J. Keith Ord", + Publisher = "Oxford University Press, New York", + Title = "{K}endall{\rq}s {A}dvanced {T}heory of {S}tatistics, {V}ol. 1", + Year = 1987 +} + +@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", + Year = 1989 +} + +@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", + Year = 1995 +} + +@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 +} + +@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 +} + +@Article{wolfowitz1957minimum, + Author = "Jacob Wolfowitz", + Journal = "The Annals of Mathematical Statistics", + Pages = "75--88", + 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 +} +