M. Bianchi, S. T. Rachev, Y. S. Kim, F. J. Fabozzi, “Tempered infinitely divisible distributions and processes”, Teor. Veroyatnost. i Primenen., 55:1 (2010), 59–86; Theory Probab. Appl., 55:1 (2011), 2

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Teoriya Veroyatnostei i ee Primeneniya, 2010, Volume 55, Issue 1, Pages 59–86
DOI: https://doi.org/10.4213/tvp4176 (Mi tvp4176)

This article is cited in 38 scientific papers (total in 38 papers)

Tempered infinitely divisible distributions and processes

M. Bianchi^a, S. T. Rachev^b, Y. S. Kim^c, F. J. Fabozzi^d

^a Università degli Studi Roma Tre, Dipartimento di Ingegneria Elettronica
^b Institute of Mathematics and Informatics, Bulgarian Academy of Sciences
^c Universität Karlsruhe
^d Yale University

Full-text PDF (261 kB) Citations (38)

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DOI: https://doi.org/10.4213/tvp4176

Received: 06.10.2008
Revised: 30.10.2009

English version:
Theory of Probability and its Applications, 2011, Volume 55, Issue 1, Pages 2–26
DOI: https://doi.org/10.1137/S0040585X97984632

Bibliographic databases:

Document Type: Article

Language: English

Citation: M. Bianchi, S. T. Rachev, Y. S. Kim, F. J. Fabozzi, “Tempered infinitely divisible distributions and processes”, Teor. Veroyatnost. i Primenen., 55:1 (2010), 59–86; Theory Probab. Appl., 55:1 (2011), 2–26

Citation in format AMSBIB

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https://doi.org/10.4213/tvp4176

https://www.mathnet.ru/eng/tvp/v55/i1/p59

This publication is cited in the following 38 articles:

Michele Leonardo Bianchi, Gian Luca Tassinari, “Estimation for multivariate normal rapidly decreasing tempered stable distributions”, Journal of Statistical Computation and Simulation, 94:1 (2024), 103
Till Massing, “Simulating continuous-time autoregressive moving average processes driven by p -tempered α -stable Lévy processes”, Stochastics, 2024, 1
Katarzyna Maraj-Zygmąt, Grzegorz Sikora, Marcin Pitera, Agnieszka Wyłomańska, “Goodness-of-fit test for stochastic processes using even empirical moments statistic”, Chaos: An Interdisciplinary Journal of Nonlinear Science, 33:1 (2023)
Michael Grabchak, Piergiacomo Sabino, “Efficient simulation of p-tempered $\alpha$ -stable OU processes”, Stat Comput, 33:1 (2023)
Till Massing, Cedric Maximilian Juessen, “CRAN: Contributed Packages”, 2023
Xia Yu., Grabchak M., “Estimation and Simulation For Multivariate Tempered Stable Distributions”, J. Stat. Comput. Simul., 92:3 (2022), 451–475
Søren Asmussen, “On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance”, Finance Stoch, 26:3 (2022), 383
Grabchak M., “An Exact Method For Simulating Rapidly Decreasing Tempered Stable Distributions in the Finite Variation Case”, Stat. Probab. Lett., 170 (2021), 109015
Grabchak M., “On the Transition Laws of P-Tempered Alpha-Stable Ou-Processes”, Comput. Stat., 36:2 (2021), 1415–1436
Yuan S., Kawai R., “Numerical Aspects of Shot Noise Representation of Infinitely Divisible Laws and Related Processes”, Probab. Surv., 18 (2021), 201–271
Kim Y.Sh., “Sample Path Generation of the Stochastic Volatility Cgmy Process and Its Application to Path-Dependent Option Pricing”, J. Risk Financ. Manag., 14:2 (2021), 77
Zhu F., Bianchi M.L., Kim Y.Sh., Fabozzi F.J., Wu H., “Learning For Infinitely Divisible Garch Models in Option Pricing”, Stud. Nonlinear Dyn. Econom., 25:3 (2021), 35–62
Grabchak M., “On the Simulation of General Tempered Stable Ornstein-Uhlenbeck Processes”, J. Stat. Comput. Simul., 90:6 (2020), 1057–1081
Arefi A., Pourtaheri R., “Multi-Modal Tempered Stable Distributions and Prosses With Applications to Finance”, Commun. Stat.-Theory Methods, 49:17 (2020), 4133–4149
Bianchi M.L., Tassinari G.L., “Forward-Looking Portfolio Selection With Multivariate Non-Gaussian Models”, Quant. Financ., 20:10 (2020), 1645–1661
Fallahgoul H.A., Kim Y.S., Fabozzi F.J., Park J., “Quanto Option Pricing With Levy Models”, Comput. Econ., 53:3 (2019), 1279–1308
Ivanov V R., Ano K., “Option Pricing in Time-Changed Levy Models With Compound Poisson Jumps”, Mod. Stoch.-THeory Appl., 6:1 (2019), 81–107
Grabchak M., “Rejection Sampling For Tempered Levy Processes”, Stat. Comput., 29:3 (2019), 549–558
Kim Y.Sh., Jiang D., Stoyanov S., “Long and Short Memory in the Risk-Neutral Pricing Process”, J. Deriv., 26:4 (2019), 71–88
Arefi A., Pourtaheri R., “Asymmetrically Tempered Stable Distributions With Applications to Finance”, Prob. Math. Stat.., 39:1 (2019), 85–98

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Related articles in Google Scholar: Russian articles, English articles

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