@Article{KOUTROUVELIS01011980, Author = "I. A. Koutrouvelis", Doi = "10.1093/biomet/67.1.238", Journal = "Biometrika", Number = 1, Pages = "238--240", Title = "{A Goodness-Of-Fit Test Of Simple Hypotheses Based On The Empirical Characteristic Function}", Volume = 67, Year = 1980 } @Manual{RpackageVarianceGamma, Author = "David Scott and Christine Yang Dong", Note = "R package version 0.3-1", Title = "{Variancegamma: The Variance Gamma Distribution}", 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 Language and Environment for Statistical Computing}", 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 = "{Nelder-Mead Algorithm}", Volume = 4, Year = 2009 } @Book{abramowitz1965handbook, Author = "Milton Abramowitz and Irene A. Stegun", Publisher = "Dover Publications", Title = "Handbook Of Mathematical Functions: With Formulas, Graphs, And Mathematical Tables", Volume = 55, Year = 1965 } @Article{applebaum2004levy, Author = "David Applebaum", Journal = "Notices Of The American Mathematical Society", Number = 11, Pages = "1336--1347", Title = "Lévy Processes: From Probability To Finance And Quantum Groups", Volume = 51, Year = 2004 } @Book{bachelier1900theorie, Author = "Louis Bachelier", Publisher = "Gauthier-Villars", Title = "Th{\'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 Processes: Theory and Applications", Year = 2001 } @Article{berkson1980minimum, Author = "Joseph Berkson", Journal = "The Annals of Statistics", Pages = "457--487", Publisher = "JSTOR", Title = "Minimum Chi-Square, Not Maximum Likelihood!", Year = 1980 } @Book{bingham2004risk, Author = "Nicholas H. Bingham and R{\"u}diger Kiesel", Publisher = "Springer", Title = "Risk-Neutral Valuation: Pricing And Hedging Of Financial Derivatives", Year = 2004 } @Article{black1973pricing, Author = "Fischer Black and Myron Scholes", Journal = "The Journal Of Political Economy", Pages = "637--654", Publisher = "JSTOR", Title = "The Pricing Of Options And Corporate Liabilities", Year = 1973 } @Article{black1976pricing, Author = "Fischer Black", Journal = "Journal Of Financial Economics", Number = 1, Pages = "167--179", Publisher = "Elsevier", Title = "The Pricing Of Commodity Contracts", 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 = "Bayesian Inference For Stable Distributions", Volume = 90, Year = 1995 } @Book{butler2007saddlepoint, Author = "Ronald W. Butler", Publisher = "Cambridge University Press", Title = "Saddlepoint Approximations With Applications", Volume = 22, Year = 2007 } @Article{carr1999option, Author = "Peter Carr and Dilip Madan", Journal = "Journal Of Computational Finance", Number = 4, Pages = "61--73", Title = "Option Valuation Using The Fast Fourier Transform", Volume = 2, Year = 1999 } @Article{crowder1986consistency, Author = "Martin Crowder", Journal = "Econometric Theory", Pages = "305--330", Publisher = "JSTOR", Title = "On Consistency And Inconsistency Of Estimating Equations", Year = 1986 } @Article{crowder1987linear, Author = "Martin Crowder", Journal = "Biometrika", Number = 3, Pages = "591--597", Publisher = "Biometrika Trust", Title = "On Linear And Quadratic Estimating Functions", Volume = 74, Year = 1987 } @Article{daniels1954saddlepoint, Author = "Henry E Daniels", Journal = "The Annals of Mathematical Statistics", Pages = "631--650", Publisher = "JSTOR", Title = "Saddlepoint Approximations In Statistics", Year = 1954 } @Article{daniels1987tail, Author = "Henry E Daniels", Journal = "International Statistical Review/Revue Internationale de Statistique", Pages = "37--48", Publisher = "JSTOR", Title = "Tail Probability Approximations", Year = 1987 } @Techreport{derman1996modelrisk, Author = "Emanuel Derman", Institution = "Goldman Sachs", Title = "Model Risk", Year = 1996 } @Book{dodge2004statistique, Author = "Yadolah Dodge", Publisher = "Springer Verlag France", Title = "Statistique: Dictionnaire 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 Test For Normality Based On The Empirical Characteristic Function", Volume = 70, Year = 1983 } @Book{epps2007pricing, Author = "Thomas W Epps", Publisher = "World Scientific Publishing Company Incorporated", Title = "Pricing Derivative Securities", Year = 2007 } @Book{everitt2006cambridge, Author = "Brian Everitt and Anders Skrondal", Publisher = "Cambridge University Press Cambridge", Title = "The Cambridge Dictionary Of Statistics", 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 = "On The Efficiency Of Empirical Characteristic Function Procedures", 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 = "Large-Sample Properties Of Parameter Estimates For Strongly Dependent Stationary Gaussian Time Series", Volume = 14, Year = 1986 } @Article{gil1951note, Author = "J Gil-Pelaez", Journal = "Biometrika", Number = "3-4", Pages = "481--482", Publisher = "Biometrika Trust", Title = "Note On The Inversion Theorem", Volume = 38, Year = 1951 } @Book{gourieroux1989statistique, Author = "Christian Gourieroux and Alain Monfort", Publisher = "Economica", Title = "Statistique 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 = "Generalized Method Of Moments", Year = 2005 } @Book{hamilton1994time, Author = "James Douglas Hamilton", Publisher = "Cambridge University Press", Title = "Time Series Analysis", Volume = 2, Year = 1994 } @Article{hansen1982large, Author = "Lars Peter Hansen", Journal = "Econometrica: Journal Of The Econometric Society", Pages = "1029--1054", Publisher = "JSTOR", Title = "Large Sample Properties Of Generalized Method Of Moments Estimators", Year = 1982 } @Article{henze1990approximation, Author = "N Henze", Journal = "Metrika", Number = 1, Pages = "7--18", Publisher = "Springer", Title = "An Approximation To The Limit Distribution Of The Epps-Pulley Test Statistic For Normality", Volume = 37, Year = 1990 } @Article{heston1993closed, Author = "Steven L Heston", Journal = "Review Of Financial Studies", Number = 2, Pages = "327--343", Publisher = "Soc Financial Studies", Title = "A Closed-Form Solution For Options With Stochastic Volatility With Applications To Bond And Currency Options", Volume = 6, Year = 1993 } @Article{hinkley1977estimation, Author = "David V Hinkley and Nagesh S Revankar", Journal = "Journal Of Econometrics", Number = 1, Pages = "1--11", Publisher = "Elsevier", Title = "Estimation Of The Pareto Law From Underreported Data: A Further Analysis", Volume = 5, Year = 1977 } @Book{hogg1978introduction, Author = "R.V. Hogg and A.T. Craig", Isbn = 9780029789902, Publisher = "Macmillan", Title = "Introduction To Mathematical Statistics", Year = 1978 } @Book{hull1999options, Author = "John C Hull", Publisher = "Pearson Education India", Title = "Options, Futures, And Other Derivatives", Year = 1999 } @Article{itkin2005pricing, Author = "Andrey Itkin", Journal = "arXiv preprint physics/0503137", Title = "Pricing Options With VG Model Using FFT", Year = 2005 } @Book{kotz2001laplace, Author = "S. Kotz and T.J. Kozubowski and K. Podg{\'o}rski", Isbn = 9780817641665, Publisher = "Birkh{\"a}user", Series = "Progress in Mathematics Series", Title = "The Laplace Distribution And Generalizations: A Revisit With Applications To Communications, Exonomics, Engineering, And Finance", Year = 2001 } @Article{kozubowski1999class, Author = "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski", Journal = "Actuarial Research Clearing House", Pages = "113--134", Publisher = "Citeseer", Title = "A Class Of Asymmetric Distributions", Volume = 1, Year = 1999 } @Article{kozubowski2001asymmetric, Author = "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski", Journal = "Mathematical And Computer Modeling", Number = 9, Pages = "1003--1021", Publisher = "Elsevier", Title = "Asymmetric Laplace Laws And Modeling Financial Data", Volume = 34, Year = 2001 } @Book{kyprianou2007introductory, Author = "Andreas E Kyprianou", Publisher = "Springer", Title = "Introductory Lectures On Fluctuations Of L{\'e}Vy Processes With Applications", Year = 2007 } @Article{lugannani1980saddle, Author = "Robert Lugannani and Stephen Rice", Journal = "Advances In Applied Probability", Pages = "475--490", Publisher = "JSTOR", Title = "Saddle Point Approximation For The Distribution Of The Sum Of Independent Random Variables", Year = 1980 } @Book{lukacs1960characteristic, Author = "Eugene Lukacs", Publisher = "Griffin London", Title = "Characteristic Functions", Volume = 4, Year = 1960 } @Article{luong1987minimum, Author = "Andrew Luong and Mary E. Thompson", Journal = "Canadian Journal of Statistics", Number = 3, Pages = "239--251", Publisher = "Wiley Online Library", Title = "Minimum-Distance Methods Based On Quadratic Distances For Transforms", Volume = 15, Year = 1987 } @Article{madan1990variance, Author = "Dilip B Madan and Eugene Seneta", Journal = "Journal Of Business", Pages = "511--524", Publisher = "JSTOR", Title = "The Variance Gamma Model For Share Market Returns", Year = 1990 } @Article{madan1998variance, Author = "Dilip B Madan, Peter P Carr and Eric C Chang", Journal = "European Finance Review", Number = 1, Pages = "79--105", Publisher = "Kluwer Academic Publishers", Title = "The Variance Gamma Process And Option Pricing", Volume = 2, Year = 1998 } @Article{mandelbrot1963variation, Author = "Benoit Mandelbrot", Journal = "Journal Of Business", Pages = "394--419", Publisher = "University of Chicago Press", Title = "The Variation Of Certain Speculative Prices", Year = 1963 } @Article{merton1976option, Author = "Robert C Merton", Journal = "Journal Of Financial Economics", Number = 1, Pages = "125--144", Publisher = "Elsevier", Title = "Option Pricing When Underlying Stock Returns Are Discontinuous", Volume = 3, Year = 1976 } @Article{mitchell1916critique, Author = "Wesley C Mitchell", Journal = "The Journal Of Political Economy", Pages = "625--693", Publisher = "JSTOR", Title = "A critique of index numbers of the prices of stocks", Year = 1916 } @Book{musiela2005martingale, Author = "Marek Musiela and Marek Rutkowski", Publisher = "Springer", Title = "Martingale Methods In Financial Modelling", Volume = 36, Year = 2005 } @Article{newey1987hypothesis, Author = "Whitney K Newey and Kenneth D West", Journal = "International Economic Review", Number = 3, Pages = "777--787", Publisher = "JSTOR", Title = "Hypothesis Testing With Efficient Method Of Moments Estimation", Volume = 28, Year = 1987 } @Article{newey1994large, Author = "Whitney K Newey and Daniel McFadden", Journal = "Handbook Of Econometrics", Pages = "2111--2245", Publisher = "Elsevier", Title = "Large Sample Estimation And Hypothesis Testing", Volume = 4, Year = 1994 } @Article{praetz1972distribution, Author = "Peter D Praetz", Journal = "Journal Of Business", Pages = "49--55", Publisher = "JSTOR", Title = "The Distribution Of Share Price Changes", Year = 1972 } @Article{press1967compound, Author = "S James Press", Journal = "Journal Of Business", Pages = "317--335", Publisher = "JSTOR", Title = "A Compound Events Model For Security Prices", Year = 1967 } @Article{randal2004non, Author = "John A Randal and Peter J Thomson and Martin T Lally", Journal = "Quantitative Finance", Number = 4, Pages = "427--440", Publisher = "Taylor \& Francis", Title = "Non-Parametric Estimation Of Historical Volatility", Volume = 4, Year = 2004 } @Book{sato1999levy, Author = "K. Sato", Isbn = 9780521553025, Publisher = "Cambridge University Press", Series = "Cambridge Studies in Advanced Mathematics", Title = "L{\'e}vy Processes And Infinitely Divisible Distributions", Year = 1999 } @Book{schoutens2003levy, Author = "Wim Schoutens", Publisher = "Wiley", Title = "L{\'e}vy Processes In Finance", Year = 2003 } @Article{seneta2004fitting, Author = "Eugene Seneta", Journal = "Journal Of Applied Probability", Pages = "177--187", Publisher = "JSTOR", Title = "Fitting The Variance-Gamma Model To Financial Data", Year = 2004 } @Article{shapiro1965analysis, Author = "Samuel Sanford Shapiro and Martin B Wilk", Journal = "Biometrika", Number = "3/4", Pages = "591--611", Publisher = "JSTOR", Title = "An Analysis Of Variance Test For Normality (complete Samples)", Volume = 52, Year = 1965 } @Article{shephard1991characteristic, Author = "Neil G Shephard", Journal = "Econometric Theory", Number = 04, Pages = "519--529", Publisher = "Cambridge Univ Press", Title = "From Characteristic Function To Distribution Function: A Simple Framework For The Theory", Volume = 7, Year = 1991 } @Book{spiegel1999schaum, Author = "Murray R Spiegel and John Liu", Publisher = "McGraw-Hill", Title = "Schaum's Mathematical Handbook Of Formulas And Tables", Volume = 1000, Year = 1999 } @Book{stuart1987kendall, Author = "Alan Stuart and J Keith Ord", Publisher = "Oxford University Press, New York", Title = "Kendall{\rq}s Advanced Theory Of Statistics, Vol. 1", Year = 1987 } @Phdthesis{torczon1989multi, Author = "Virginia Joanne Torczon", Title = "Multi-directional search: a direct search algorithm for parallel machines", Year = 1989 } @Article{wang2003evaluating, Author = "Jingbo Wang, Wai Wan Tsang and George Marsaglia", Journal = "Journal of Statistical Software", Number = 18, Pages = "1--4", Publisher = "American Statistical Association", Title = "Evaluating Kolmogorov's Distribution", Volume = 8, Year = 2003 } @Article{wendel1961non, Author = "JG Wendel", Journal = "The Annals of Mathematical Statistics", Number = 1, Pages = "338--339", Publisher = "Institute of Mathematical Statistics", Title = "The Non-Absolute Convergence Of Gil-Pelaez' inversion Integral", Volume = 32, Year = 1961 } @Unpublished{teschl2004topics, Author = "Gerald Teschl", Title = "Topics In Real And Functional Analysis", Year = 2004 } @Article{wolfowitz1957minimum, Author = "Jacob Wolfowitz", Journal = "The Annals Of Mathematical Statistics", Pages = "75--88", Publisher = "JSTOR", Title = "The Minimum Distance Method", Year = 1957 } @Book{wooldridge2001econometric, Author = "Jeffrey M Wooldridge", Publisher = "MIT press", Title = "Econometric Analysis Of Cross Section And Panel Data", Year = 2001 } @Article{fama1993common, Author = "Eugene F Fama and Kenneth R French", Journal = "Journal Of Financial Economics", Number = 1, Pages = "3--56", Publisher = "Elsevier", Title = "Common Risk Factors In The Returns On Stocks And Bonds", Volume = 33, Year = 1993 } @InProceedings{walterlevy, author = {Christian Walter}, title = {"Levy-Stability Under Addition And Fractal Structure Of Markets: Implications For The Actuaries And Emphasized Examination Of Matif National Contract"}, year = 1995, booktitle = {Proceedings of the 5th AFIR colloquium}, }