Michail Anthropelos, Michael Kupper, Antonis Papapantoleon, “An Equilibrium Model for Spot and Forward Prices of Commodities”, SSRN Journal, 2016
Henrik Hult, Filip Lindskog, “Ruin probabilities under general investments and heavy-tailed claims”, Finance Stoch, 15, no. 2, 2011, 243
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto, “A General HJM Framework for Multiple Yield Curve Modeling”, SSRN Journal, 2014
Uwe Küchler, Stefan Tappe, “Option pricing in bilateral Gamma stock models”, Statistics & Decisions, 27, no. 4, 2009, 281
Jesus Perez Colino, “Dynamic Interest-Rate Modelling in Incomplete Markets”, SSRN Journal, 2008
Ernst Eberlein, Christoph Gerhart, Eva Lütkebohmert, “A Multiple Curve Lévy Swap Market Model”, Applied Mathematical Finance, 27, no. 5, 2020, 396
Peter Carr, Roger Lee, Matthew Lorig, “Pricing Variance Swaps on Time-Changed Markov Processes”, SIAM J. Finan. Math., 12, no. 2, 2021, 672
Ernst Eberlein, Christoph Gerhart, Zorana Grbac, “Multiple curve Lévy forward price model allowing for negative interest rates”, Mathematical Finance, 30, no. 1, 2020, 167
Dorje C. Brody, L. P. Hughston, Ewan Mackie, “General Theory of Geometric Lévy Models for Dynamic Asset Pricing”, SSRN Journal, 2011
Boris Buchmann, Benjamin Kaehler, Ross Maller, Alexander Szimayer, “Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing”, Stochastic Processes and their Applications, 127, no. 7, 2017, 2208