Modeling and simulation of financial returns under non-Gaussian distributions

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
The Pricing of Options and Corporate Liabilities
Stock returns and hyperbolic distributions
Stochastic methods. A handbook for the natural and social sciences
Martingales and stochastic integrals in the theory of continuous trading
Exponentially damped Lévy flights
Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
Volatility in financial markets: Stochastic models and empirical results
Financial market dynamics
Asymptotics for products of sums and $U$-statistics
Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
Nonextensive statistical mechanics and economics
Hyperbolic distributions in finance
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
Skewness and kurtosis analysis for non-Gaussian distributions
Empirical evidence on Student-$t$ log-returns of diversified world stock indices
A Guide to First-Passage Processes
Do financial returns have finite or infinite variance? A paradox and an explanation
Empirical distributions of stock returns: between the stretched exponential and the power law?
The modified Weibull distribution for asset returns
FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
A Method for Simulating Stable Random Variables
Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
A non-Gaussian option pricing model with skew
Empirical properties of asset returns: stylized facts and statistical issues
A theory of non‐Gaussian option pricing
Comments on “Generalized Box-Müller Method for Generating q-Gaussian Random Deviates”
Theory of Financial Risk and Derivative Pricing
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Brownian Motion in the Stock Market
Introduction to Econophysics
VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
Parameter Estimation for the Truncated Pareto Distribution
Truncated Lévy walks and an emerging market economic index