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Bibliography on Levy processes in financial modeling


1
Barndorff-Nielsen, O., Mikosch T. & Resnick S. (Eds.) (2001) Lévy processes- theory and applications, Boston: Birkhauser.
2
Barndorff-Nielsen, O. (1977): Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions, Zeitschrift fur Wahrscheinlichkeitstheorie une verwandte Gebiete, 38, 309-312.
2
Barndorff-Nielsen, O. (1998): Processes of normal inverse gaussian type, Finance & Stochastics, 2, No. 1, 41-68.
3
Barndorff-Nielsen, O. (1997): Normal inverse gaussian distributions and stochastic volatility modeling, Scandinavian Journal of Statistics, 24, 1-13.
4
Barndorff-Nielsen, O. & Shephard, N. (2000) Modeling with Lévy processes for financial econometrics, MaPhySto Research Report No. 16, University of Aarhus.
5
Barndorff-Nielsen, O. & Shephard, N. (1998) Incorporation of a Leverage Effect in a Stochastic Volatility Model, MaPhySto Research Report No. 18, University of Aarhus.
6
Barndorff-Nielsen, O. & Shephard, N. (2000) Integrated Ornstein Uhlenbeck Processes, Research Report, Oxford University.
7
Bertoin, J. (1996) Lévy processes, Cambridge University Press.
8
Bretagnolle, J. (1973) Processus à incréments indépendants, Ecole d'Eté de Probabilités, Lecture Notes in Mathematics, Vol. 237, pp 1-26. Berlin: Springer.
9
Carr P., Madan D. (1998): Option valuation using the fast Fourier transform, Journal of Computational Finance, 2, 61-73.
9
Carr P., Geman H., Madan D. & Yor, M. (2000) The fine structure of asset returns: an empirical investigation, Working Paper.
10
Chan, K. (1999) Pricing contingent claims on stocks driven by Lévy processes, Annals of Applied Probability, 9, 504-528.
11
Cont R. (2001) Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, 1, No. 2.
12
Cont R., Bouchaud J.P. & Potters M. (1997): Scaling in financial data: stable laws and beyond, in: B Dubrulle, F Graner & D Sornette (Eds.): Scale invariance and beyond, Berlin: Springer.
13 Cont, R. and Tankov, P. (2003) Financial modelling with jump processes, CRC Press.

14 
Eberlein, E. & Jacod, J. (1997): On the range of options prices,Finance & Stochastics, 1, No. 1, 131-140.

15
Eberlein E., Keller U. & Prause, K. (1998) New insights into smile, mispricing and Value at Risk: the hyperbolic model, Journal of Business, 71, No. 3, 371-405.

16
Eberlein E., Raible S. (1999) Term structure models driven by general Levy processes, Mathematical Finance, 9, 31-53.

17
Geman H., Madan D. & Yor M. (2000) Time changes in subordinated Brownian motion, Preprint.

18
Geman H., Madan D. & Yor M. (1999) Time changes for Levy processes, Preprint.

19
Jacod, J. & Shiryaev, A.N. (1987) Limit theorems for stochastic processes, Berlin: Springer.

20
Lévy, P. (1937) Théorie de l'addition des variables aléatoires, Paris: Gauthier Villars.

21
Madan, D. & Milne, F. (1991) Option pricing with variance gamma martingale components, Mathematical finance, 1, 39-55.

22
Madan, D. B., P. P. Carr, and E. C. Chang (1998). The variance gamma process and option pricing. European Finance Review2, 79-105.

23
Madan, D. B. and E. Seneta (1990). The variance gamma model for share market returns. Journal of Business, 63, 511-524.

24
Mandelbrot, B. (1997) Fractals and scaling in finance, Berlin: Springer.

25
Protter, P. (1990) Stochastic integration and differential equations: a new approach, Berlin: Springer.

26
Rydberg, T. H. (1997): The normal inverse Gaussian Lévy process: Simulation and approximation. Commun. Stat., Stochastic Models 13(4), 887-910.

27
Samorodnitsky, G. & Taqqu, M. (1994) Stable non-gaussian random processes, New York: Chapman and Hall.

28
Sato, K. (1999) Lévy processes and infinitely divisible distributions, Cambridge University Press.


Rama Cont 2001-03-25