672 lines
18 KiB
BibTeX
672 lines
18 KiB
BibTeX
@Article{KOUTROUVELIS01011980,
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Author = "I. A. Koutrouvelis",
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Doi = "10.1093/biomet/67.1.238",
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Journal = "{B}iometrika",
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Number = 1,
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Pages = "238--240",
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Title = "{{A} {G}oodness-of-{F}it {T}est Of {S}imple {H}ypotheses {B}ased
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On The {E}mpirical {C}haracteristic {F}unction}",
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Volume = 67,
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Year = 1980
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}
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@Manual{RpackageVarianceGamma,
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Author = "David Scott and Christine Yang Dong",
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Note = "R package version 0.3-1",
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Title = "{{v}ariancegamma: {T}he {V}ariance {G}amma {D}istribution}",
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Url = "http://CRAN.R-project.org/package=VarianceGamma",
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Year = 2012
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}
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@Manual{Rsoftware,
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Address = "Vienna, Austria",
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Author = "{R Core Team}",
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Isbn = "3-900051-07-0",
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Organization = "R Foundation for Statistical Computing",
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Title = "{{R}: A {L}anguage and {E}nvironment for {S}tatistical
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{C}omputing}",
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Url = "http://www.R-project.org",
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Year = 2012
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}
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@Article{Singer:2009,
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Author = "Sa\v{s}a Singer and John Nelder",
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Doi = "10.4249/scholarpedia.2928",
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Journal = "Scholarpedia",
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Number = 7,
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Pages = 2928,
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Title = "{{N}elder-{M}ead {A}lgorithm}",
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Volume = 4,
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Year = 2009
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}
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@Book{abramowitz1965handbook,
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Author = "Milton Abramowitz and Irene A. Stegun",
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Publisher = "Dover Publications",
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Title = "{H}andbook Of {M}athematical {F}unctions: With {F}ormulas,
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{G}raphs, And {M}athematical {T}ables",
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Volume = 55,
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Year = 1965
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}
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@Article{applebaum2004levy,
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Author = "David Applebaum",
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Journal = "Notices Of The American Mathematical Society",
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Number = 11,
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Pages = "1336--1347",
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Title = "{L}{\'e}vy {P}rocesses: {F}rom {P}robability To {F}inance And
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{Q}uantum {G}roups",
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Volume = 51,
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Year = 2004
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}
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@Book{bachelier1900theorie,
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Author = "Louis Bachelier",
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Publisher = "Gauthier-Villars",
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Title = "{T}h{\'e}orie De La sp{\'e}culation",
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Year = 1900
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}
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@Book{barndorff2001levy,
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Author = "O.E.E. Barndorff-Nielsen, T.E. Mikosch and
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S.I.E. Resnick",
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Isbn = 9780817641672,
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Publisher = "Birkh{\"a}user",
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Title = "{L}{\'e}vy {P}rocesses: {T}heory and {A}pplications",
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Year = 2001
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}
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@Article{berkson1980minimum,
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Author = "Joseph Berkson",
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Journal = "The Annals of Statistics",
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Pages = "457--487",
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Publisher = "JSTOR",
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Title = "{M}inimum {C}hi-Square, Not {M}aximum {L}ikelihood!",
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Year = 1980
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}
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@Book{bingham2004risk,
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Author = "Nicholas H. Bingham and R{\"u}diger Kiesel",
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Publisher = "Springer",
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Title = "{R}isk-Neutral {V}aluation: {P}ricing And {H}edging Of
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{F}inancial {D}erivatives",
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Year = 2004
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}
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@Article{black1973pricing,
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Author = "Fischer Black and Myron Scholes",
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Journal = "The Journal Of Political Economy",
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Pages = "637--654",
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Publisher = "JSTOR",
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Title = "{T}he {P}ricing Of {O}ptions And {C}orporate {L}iabilities",
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Year = 1973
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}
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@Article{black1976pricing,
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Author = "Fischer Black",
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Journal = "Journal Of Financial Economics",
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Number = 1,
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Pages = "167--179",
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Publisher = "Elsevier",
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Title = "{T}he {P}ricing Of {C}ommodity {C}ontracts",
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Volume = 3,
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Year = 1976
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}
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@Article{buckle1995bayesian,
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Author = "D. J. Buckle",
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Journal = "Journal of the American Statistical Association",
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Number = 430,
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Pages = "605--613",
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Publisher = "Taylor \& Francis Group",
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Title = "{B}ayesian {I}nference For {S}table {D}istributions",
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Volume = 90,
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Year = 1995
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}
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@Book{butler2007saddlepoint,
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Author = "Ronald W. Butler",
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Publisher = "Cambridge University Press",
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Title = "{S}addlepoint {A}pproximations With {A}pplications",
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Volume = 22,
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Year = 2007
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}
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@Article{carr1999option,
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Author = "Peter Carr and Dilip Madan",
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Journal = "Journal Of Computational Finance",
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Number = 4,
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Pages = "61--73",
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Title = "{O}ption {V}aluation {U}sing The {F}ast {F}ourier {T}ransform",
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Volume = 2,
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Year = 1999
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}
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@Article{crowder1986consistency,
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Author = "Martin Crowder",
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Journal = "Econometric Theory",
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Pages = "305--330",
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Publisher = "JSTOR",
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Title = "{O}n {C}onsistency And {I}nconsistency Of {E}stimating
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{E}quations",
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Year = 1986
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}
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@Article{crowder1987linear,
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Author = "Martin Crowder",
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Journal = "Biometrika",
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Number = 3,
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Pages = "591--597",
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Publisher = "Biometrika Trust",
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Title = "{O}n {L}inear And {Q}uadratic {E}stimating {F}unctions",
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Volume = 74,
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Year = 1987
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}
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@Article{daniels1954saddlepoint,
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Author = "Henry E Daniels",
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Journal = "The Annals of Mathematical Statistics",
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Pages = "631--650",
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Publisher = "JSTOR",
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Title = "{S}addlepoint {A}pproximations In {S}tatistics",
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Year = 1954
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}
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@Article{daniels1987tail,
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Author = "Henry E Daniels",
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Journal = "International Statistical Review/Revue
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Internationale de Statistique",
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Pages = "37--48",
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Publisher = "JSTOR",
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Title = "{T}ail {P}robability {A}pproximations",
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Year = 1987
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}
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@Techreport{derman1996modelrisk,
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Author = "Emanuel Derman",
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Institution = "Goldman Sachs",
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Title = "{M}odel {R}isk",
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Year = 1996
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}
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@Book{dodge2004statistique,
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Author = "Yadolah Dodge",
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Publisher = "Springer Verlag France",
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Title = "{S}tatistique: {D}ictionnaire Encyclop{\'e}dique",
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Year = 2004
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}
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@Article{epps1983test,
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Author = "Thomas W Epps and Lawrence B Pulley",
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Journal = "Biometrika",
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Number = 3,
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Pages = "723--726",
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Publisher = "Biometrika Trust",
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Title = "{A} {T}est For {N}ormality {B}ased On The {E}mpirical
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{C}haracteristic {F}unction",
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Volume = 70,
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Year = 1983
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}
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@Book{epps2007pricing,
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Author = "Thomas W Epps",
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Publisher = "World Scientific Publishing Company Incorporated",
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Title = "{P}ricing {D}erivative {S}ecurities",
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Year = 2007
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}
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@Book{everitt2006cambridge,
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Author = "Brian Everitt and Anders Skrondal",
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Publisher = "Cambridge University Press Cambridge",
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Title = "{T}he {C}ambridge {D}ictionary Of {S}tatistics",
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Volume = 4,
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Year = 2006
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}
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@Article{feuerverger1981efficiency,
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Author = "Andrey Feuerverger and Philip McDunnough",
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Journal = "Journal Of The Royal Statistical Society. Series B
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(methodological)",
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Pages = "20--27",
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Publisher = "JSTOR",
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Title = "{O}n The {E}fficiency Of {E}mpirical {C}haracteristic
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{F}unction {P}rocedures",
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Year = 1981
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}
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@Article{fox1986large,
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Author = "Robert Fox and Murad S Taqqu",
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Journal = "The Annals of Statistics",
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Number = 2,
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Pages = "517--532",
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Publisher = "Institute of Mathematical Statistics",
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Title = "{L}arge-Sample {P}roperties Of {P}arameter {E}stimates For
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{S}trongly {D}ependent {S}tationary {G}aussian {T}ime {S}eries",
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Volume = 14,
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Year = 1986
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}
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@Article{gil1951note,
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Author = "J Gil-Pelaez",
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Journal = "Biometrika",
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Number = "3-4",
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Pages = "481--482",
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Publisher = "Biometrika Trust",
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Title = "{N}ote On The {I}nversion {T}heorem",
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Volume = 38,
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Year = 1951
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}
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@Book{gourieroux1989statistique,
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Author = "Christian Gourieroux and Alain Monfort",
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Publisher = "Economica",
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Title = "{S}tatistique Et Mod{\`e}les {\'E}conom{\'e}triques:
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Notions G{\'e}n{\'e}rales, Estimation,
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Pr{\'e}vision, Algorithmes",
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Volume = 1,
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Year = 1989
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}
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@Book{hall2005generalized,
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Author = "Alastair R Hall",
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Publisher = "Oxford University Press Oxford",
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Title = "{G}eneralized {M}ethod Of {M}oments",
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Year = 2005
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}
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@Book{hamilton1994time,
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Author = "James Douglas Hamilton",
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Publisher = "Cambridge University Press",
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Title = "{T}ime {S}eries {A}nalysis",
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Volume = 2,
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Year = 1994
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}
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@Article{hansen1982large,
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Author = "Lars Peter Hansen",
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Journal = "Econometrica: Journal Of The Econometric Society",
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Pages = "1029--1054",
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Publisher = "JSTOR",
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Title = "{L}arge {S}ample {P}roperties Of {G}eneralized {M}ethod Of
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{M}oments {E}stimators",
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Year = 1982
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}
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@Article{henze1990approximation,
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Author = "N Henze",
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Journal = "Metrika",
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Number = 1,
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Pages = "7--18",
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Publisher = "Springer",
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Title = "{A}n {A}pproximation To The {L}imit {D}istribution Of The
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{E}pps-{P}ulley {T}est {S}tatistic For {N}ormality",
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Volume = 37,
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Year = 1990
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}
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@Article{heston1993closed,
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Author = "Steven L Heston",
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Journal = "Review Of Financial Studies",
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Number = 2,
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Pages = "327--343",
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Publisher = "Soc Financial Studies",
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Title = "A Closed-Form Solution For Options With Stochastic
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Volatility With Applications To Bond And Currency
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Options",
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Volume = 6,
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Year = 1993
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}
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@Article{hinkley1977estimation,
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Author = "David V Hinkley and Nagesh S Revankar",
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Journal = "Journal Of Econometrics",
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Number = 1,
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Pages = "1--11",
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Publisher = "Elsevier",
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Title = "Estimation Of The Pareto Law From Underreported
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Data: A Further Analysis",
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Volume = 5,
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Year = 1977
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}
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@Book{hogg1978introduction,
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Author = "R.V. Hogg and A.T. Craig",
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Isbn = 9780029789902,
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Publisher = "Macmillan",
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Title = "Introduction To Mathematical Statistics",
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Year = 1978
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}
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@Book{hull1999options,
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Author = "John C Hull",
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Publisher = "Pearson Education India",
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Title = "Options, Futures, And Other Derivatives",
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Year = 1999
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}
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@Article{itkin2005pricing,
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Author = "Andrey Itkin",
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Journal = "arXiv preprint physics/0503137",
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Title = "Pricing Options With VG Model Using FFT",
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Year = 2005
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}
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@Book{kotz2001laplace,
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Author = "S. Kotz and T.J. Kozubowski and K. Podg{\'o}rski",
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Isbn = 9780817641665,
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Publisher = "Birkh{\"a}user",
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Series = "Progress in Mathematics Series",
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Title = "The Laplace Distribution And Generalizations: A
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Revisit With Applications To Communications,
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Exonomics, Engineering, And Finance",
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Year = 2001
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}
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@Article{kozubowski1999class,
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Author = "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski",
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Journal = "Actuarial Research Clearing House",
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Pages = "113--134",
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Publisher = "Citeseer",
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Title = "A Class Of Asymmetric Distributions",
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Volume = 1,
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Year = 1999
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}
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@Article{kozubowski2001asymmetric,
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Author = "Tomasz J Kozubowski and Krzysztof Podg{\'o}rski",
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Journal = "Mathematical And Computer Modeling",
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Number = 9,
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Pages = "1003--1021",
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Publisher = "Elsevier",
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Title = "Asymmetric Laplace Laws And Modeling Financial Data",
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Volume = 34,
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Year = 2001
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}
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@Book{kyprianou2007introductory,
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Author = "Andreas E Kyprianou",
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Publisher = "Springer",
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Title = "Introductory Lectures On Fluctuations Of L{\'e}Vy
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Processes With Applications",
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Year = 2007
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}
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@Article{lugannani1980saddle,
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Author = "Robert Lugannani and Stephen Rice",
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Journal = "Advances In Applied Probability",
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Pages = "475--490",
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Publisher = "JSTOR",
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Title = "Saddle Point Approximation For The Distribution Of
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The Sum Of Independent Random Variables",
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Year = 1980
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}
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@Book{lukacs1960characteristic,
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Author = "Eugene Lukacs",
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Publisher = "Griffin London",
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Title = "Characteristic Functions",
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Volume = 4,
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Year = 1960
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}
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@Article{luong1987minimum,
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Author = "Andrew Luong and Mary E. Thompson",
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Journal = "Canadian Journal of Statistics",
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Number = 3,
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Pages = "239--251",
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Publisher = "Wiley Online Library",
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Title = "Minimum-Distance Methods Based On Quadratic
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Distances For Transforms",
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Volume = 15,
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Year = 1987
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}
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@Article{madan1990variance,
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Author = "Dilip B Madan and Eugene Seneta",
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Journal = "Journal Of Business",
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Pages = "511--524",
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Publisher = "JSTOR",
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Title = "The Variance Gamma Model For Share Market Returns",
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Year = 1990
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}
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@Article{madan1998variance,
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Author = "Dilip B Madan, Peter P Carr and Eric C Chang",
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Journal = "European Finance Review",
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Number = 1,
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Pages = "79--105",
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Publisher = "Kluwer Academic Publishers",
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Title = "The Variance Gamma Process And Option Pricing",
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Volume = 2,
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Year = 1998
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}
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@Article{mandelbrot1963variation,
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Author = "Benoit Mandelbrot",
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Journal = "Journal Of Business",
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Pages = "394--419",
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Publisher = "University of Chicago Press",
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Title = "The Variation Of Certain Speculative Prices",
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Year = 1963
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}
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@Article{merton1976option,
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Author = "Robert C Merton",
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Journal = "Journal Of Financial Economics",
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Number = 1,
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Pages = "125--144",
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Publisher = "Elsevier",
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Title = "Option Pricing When Underlying Stock Returns Are
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Discontinuous",
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Volume = 3,
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Year = 1976
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}
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@Article{mitchell1916critique,
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Author = "Wesley C Mitchell",
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Journal = "The Journal Of Political Economy",
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Pages = "625--693",
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Publisher = "JSTOR",
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Title = "A critique of index numbers of the prices of stocks",
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Year = 1916
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}
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@Book{musiela2005martingale,
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Author = "Marek Musiela and Marek Rutkowski",
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Publisher = "Springer",
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Title = "Martingale Methods In Financial Modelling",
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Volume = 36,
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Year = 2005
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}
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@Article{newey1987hypothesis,
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Author = "Whitney K Newey and Kenneth D West",
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Journal = "International Economic Review",
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Number = 3,
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Pages = "777--787",
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Publisher = "JSTOR",
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Title = "Hypothesis Testing With Efficient Method Of Moments
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Estimation",
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Volume = 28,
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Year = 1987
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}
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@Article{newey1994large,
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Author = "Whitney K Newey and Daniel McFadden",
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Journal = "Handbook Of Econometrics",
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Pages = "2111--2245",
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Publisher = "Elsevier",
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Title = "Large Sample Estimation And Hypothesis Testing",
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Volume = 4,
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Year = 1994
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}
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@Article{praetz1972distribution,
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Author = "Peter D Praetz",
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Journal = "Journal Of Business",
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Pages = "49--55",
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Publisher = "JSTOR",
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Title = "The Distribution Of Share Price Changes",
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Year = 1972
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}
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@Article{press1967compound,
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Author = "S James Press",
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Journal = "Journal Of Business",
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Pages = "317--335",
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Publisher = "JSTOR",
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Title = "A Compound Events Model For Security Prices",
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Year = 1967
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}
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@Article{randal2004non,
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Author = "John A Randal and Peter J Thomson and Martin T
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Lally",
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Journal = "Quantitative Finance",
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Number = 4,
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Pages = "427--440",
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Publisher = "Taylor \& Francis",
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Title = "Non-Parametric Estimation Of Historical Volatility",
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Volume = 4,
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Year = 2004
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}
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@Book{sato1999levy,
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Author = "K. Sato",
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Isbn = 9780521553025,
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