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These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field.
Rational theory of warrant pricing
Samuelson, P. A. (1965) · 1965
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Handbook of Mathematical Functions
Abramowitz, M. and I. Stegun (Eds.) (1968) · 1968
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The pricing of options and corporate liabilities
Black, F. and M. Scholes (1973) · 1973
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Theory of rational option pricing
Merton, R. C. (1973) · 1973
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Option pricing with discontinuous returns
Merton, R. C. (1976) · 1976
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Exponentially decreasing distributions for the logarithm of particle size
Barndorff-Nielsen, O. E. (1977) · 1977
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Non-Uniform Random Variate Generation
Devroye, L. (1986) · 1986
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The variance gamma (VG) model for share market returns
Madan, D. B. and E. Seneta (1990) · 1990
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Stable non-Gaussian Random Processes
Samorodnitsky, G. and M. Taqqu (1994) · 1994
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Hyperbolic distributions in finance
Eberlein, E. and U. Keller (1995) · 1995
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Lévy processes
Bertoin, J. (1996) · 1996
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Normal inverse Gaussian distributions and stochastic volatility modelling
Barndorff-Nielsen, O. E. (1997) · 1997
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On the range of options prices
Eberlein, E. and J. Jacod (1997) · 1997
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Stochastic Storage Processes
Prabhu, N. U. (1998) · 1998
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Lévy processes, polynomials and martingales
Schoutens, W. and J. L. Teugels (1998) · 1998
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Option valuation using the fast Fourier transform
Carr, P. and D. B. Madan (1999) · 1999
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Lévy Processes and Infinitely Divisible Distributions
Sato, K. (1999) · 1999
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Essentials of Stochastic Finance: Facts, Models, Theory
Shiryaev, A. N. (1999) · 1999
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The generalized hyperbolic model: financial derivatives and risk measures
Eberlein, E. and K. Prause (2002) · 2000
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Optimal portfolios for logarithmic utility
Goll, T. and J. Kallsen (2000) · 2000
Cited alongside, same era.
Optimal portfolios for exponential Lévy processes
Kallsen, J. (2000) · 2000
Cited alongside, same era.
Lévy processes in finance: theory, numerics, and empirical facts
Raible, S. (2000) · 2000
Cited alongside, same era.
Lévy Processes: Theory and Applications
Barndorff-Nielsen, O. E., T. Mikosch, and S. Resnick (Eds.) (2001) · 2001
Cited alongside, same era.
Apparent scaling
Barndorff-Nielsen, O. E. and K. Prause (2001) · 2001
Cited alongside, same era.
Empirical properties of asset returns: stylized facts and statistical issues
Cont, R. (2001) · 2001
Cited alongside, same era.
Nonparametric calibration of jump-diffusion option pricing models
Cont, R. and P. Tankov (2004) · 2004
Later among the works it cites.
Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes
Eberlein, E. and E. A. v. Hammerstein (2004) · 2004
Later among the works it cites.
Fast deterministic pricing of options on Lévy driven assets
Matache, A.-M., T. v. Petersdorff, and C. Schwab (2004) · 2004
Later among the works it cites.
Stochastic Integration and Differential Equations
Protter, P. (2004) · 2004
Later among the works it cites.
Optimal calibration for exponential Lévy models
Belomestny, D. and M. Reiß (2005) · 2005
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Symmetries and pricing of exotic options in Lévy models
Eberlein, E. and A. Papapantoleon (2005) · 2005
Later among the works it cites.
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Eberlein, E. (2001) · 2001
Cited alongside, same era.
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, T. and L. Rüschendorf (2001) · 2001
Cited alongside, same era.
On a new approach to calculating expectations for option pricing
Borovkov, K. and A. Novikov (2002) · 2002
Cited alongside, same era.
The fine structure of asset returns: an empirical investigation
Carr, P., H. Geman, D. B. Madan, and M. Yor (2002) · 2002
Cited alongside, same era.
Heston’s stochastic volatility model applied to foreign exchange options
Hakala, J. and U. Wystup (2002) · 2002
Cited alongside, same era.
The cumulant process and Esscher’s change of measure
Kallsen, J. and A. N. Shiryaev (2002) · 2002
Cited alongside, same era.
Minimal entropy preserves the Lévy property: how and why
Esche, F. and M. Schweizer (2005) · 2005
Later among the works it cites.
Exotic Option Pricing and Advanced Lévy Models
Kyprianou, A. E., W. Schoutens, and P. Wilmott (Eds.) (2005) · 2005
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Fast numerical solution of parabolic integro-differential equations with applications in finance
Matache, A.-M., C. Schwab, and T. P. Wihler (2005) · 2005
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On the martingale measures in exponential Lévy models
Selivanov, A. V. (2005) · 2005
Later among the works it cites.
Simulation methods with Lévy processes
Webber, N. (2005) · 2005
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Retrieving Lévy processes from option prices: regularization of an ill-posed inverse problem
Cont, R. and P. Tankov (2006) · 2006
Later among the works it cites.
Introductory Lectures on Fluctuations of Lévy Processes with Applications
Kyprianou, A. E. (2006) · 2006
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Jump-type Lévy processes
Eberlein, E. (2007) · 2007
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Applications of semimartingales and Lévy processes in finance: duality and valuation
Papapantoleon, A. (2007) · 2007
Later among the works it cites.
Analysis of valuation formulae and applications to exotic options in Lévy models
Eberlein, E., K. Glau, and A. Papapantoleon (2008) · 2008
Closest in time.
On the duality principle in option pricing: semimartingale setting
Eberlein, E., A. Papapantoleon, and A. N. Shiryaev (2008) · 2008
Closest in time.
Bilateral gamma distributions and processes in financial mathematics
Küchler, U. and S. Tappe (2008) · 2008
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