Book a Demo!
CoCalc Logo Icon
StoreFeaturesDocsShareSupportNewsAboutPoliciesSign UpSign In
cantaro86
GitHub Repository: cantaro86/Financial-Models-Numerical-Methods
Path: blob/master/latex/A.3 Introduction to Lévy processes and PIDEs.bbl
1689 views
1
\begin{thebibliography}{}
2
3
\bibitem[Applebaum, 2009]{Applebaum}
4
Applebaum, D. (2009).
5
\newblock {\em Lévy Processes and Stochastic Calculus}.
6
\newblock Cambridge University Press; 2nd edition.
7
8
\bibitem[Barndorff-Nielsen, 1997]{BN97}
9
Barndorff-Nielsen (1997).
10
\newblock Processes of {N}ormal inverse {G}aussian type.
11
\newblock {\em Finance and Stochastics}, 2:41--68.
12
13
\bibitem[Black and Scholes, 1973]{BS73}
14
Black, F. and Scholes, M. (1973).
15
\newblock The pricing of options and corporate liabilities.
16
\newblock {\em The Journal of Political Economy}, 81(3):637--654.
17
18
\bibitem[Carr et~al., 2002]{CGMY02}
19
Carr, P., Geman, H., D.B., M., and M., Y. (2002).
20
\newblock The fine structure of asset returns: An empirical investigation.
21
\newblock {\em Journal of Business}, 75(2):305--333.
22
23
\bibitem[Cont et~al., 1997]{BoPoCo97}
24
Cont, R., Potters, M., and Bouchaud, J. (1997).
25
\newblock Scaling in stock market data: stable laws and beyond.
26
\newblock {\em Scale invariance and beyond, Springer}.
27
28
\bibitem[Cont and Tankov, 2003]{Cont}
29
Cont, R. and Tankov, P. (2003).
30
\newblock {\em Financial Modelling with Jump Processes}.
31
\newblock Chapman and Hall/CRC; 1 edition.
32
33
\bibitem[Cont and Voltchkova, 2005a]{CoVo05b}
34
Cont, R. and Voltchkova, E. (2005a).
35
\newblock A finite difference scheme for option pricing in jump diffusion and
36
exponential {L}\'evy models.
37
\newblock {\em SIAM Journal of numerical analysis}, 43(4):1596--1626.
38
39
\bibitem[Cont and Voltchkova, 2005b]{CoVo05}
40
Cont, R. and Voltchkova, E. (2005b).
41
\newblock Integro-differential equations for option prices in exponential
42
{L}èvy models.
43
\newblock {\em Finance and Stochastics}, 9:299--325.
44
45
\bibitem[Eberlein and Keller, 1995]{EbKe95}
46
Eberlein, E. and Keller, U. (1995).
47
\newblock Hyperbolic distributions in finance.
48
\newblock {\em Bernoulli}, 1(3):281--299.
49
50
\bibitem[Kabasinskas et~al., 2009]{alpha09}
51
Kabasinskas, A., Rachev, S., Sakalauskas, L., Wei, S., and Belovas, I. (2009).
52
\newblock Alpha-stable paradigm in financial markets.
53
\newblock {\em Journal of Computational Analysis and Applications},
54
11(4):641--669.
55
56
\bibitem[Kou, 2002]{Kou02}
57
Kou, S. (2002).
58
\newblock A jump-diffusion model for option pricing.
59
\newblock {\em Management Science}, 48(8):1086--1101.
60
61
\bibitem[Madan et~al., 1998]{MCC98}
62
Madan, D., Carr, P., and Chang, E. (1998).
63
\newblock The {V}ariance {G}amma process and option pricing.
64
\newblock {\em European Finance Review}, 2:79–105.
65
66
\bibitem[Madan and Seneta, 1990]{MaSe90}
67
Madan, D. and Seneta, E. (1990).
68
\newblock The {V}ariance {G}amma {(V.G.)} model for share market returns.
69
\newblock {\em The journal of Business}, 63(4):511--524.
70
71
\bibitem[Mandelbrot, 1963]{Ma63}
72
Mandelbrot, B. (1963).
73
\newblock Modeling financial data with stable distributions.
74
\newblock {\em Journal of Business}, XXXVI(1):392--417.
75
76
\bibitem[Merton, 1976]{Me76}
77
Merton, R. (1976).
78
\newblock Option pricing when underlying stock returns are discontinuous.
79
\newblock {\em Journal of Financial Economics}, 3:125--144.
80
81
\bibitem[Papapantoleon, ]{papapa}
82
Papapantoleon, A.
83
\newblock An introduction to lévy processes with applications in finance.
84
\newblock {\em Available in Arxiv}.
85
86
\bibitem[Sato, 1999]{Sato}
87
Sato, K.~I. (1999).
88
\newblock {\em Lévy processes and infinitely divisible distributions}.
89
\newblock Cambridge University Press.
90
91
\bibitem[Schoutens, 2003]{Schoutens}
92
Schoutens, W. (2003).
93
\newblock {\em L\'evy processes in finance}.
94
\newblock Wiley, First Edition.
95
96
\end{thebibliography}
97
98