This document has not been cited yet.

1. A. A. DrÄgulescu, V. M. Yakovenko, Probability distribution of return in the Heston model with stochastic volatility, Quantitative Finance, vol. 2, 443-453 (2002).

2. A. A. DrÄgulescu, V. M. Yakovenko, Statistical mechanics of money, Eur. Phys. J. B. 17, 723-729 (2000).

3. Anca Gheorghiu and I. SpÃnulescu, New Econophysics Approaches and Models, The Hyperion Scientific Journal, 4, 73-91 (2004). APPENDIX
   Paper not yet in RePEc: Add citation now
   
4. D. A. Sornette, J. P. Johansen, J. Bouchaud and I. Phys, Stock Market Crashes, Precursors and Replicas, (France) 6, 167 (1996).
   Paper not yet in RePEc: Add citation now
   
5. D. Sornette, Why Stock Markets Crash â Critical Events in Complex Financial Systems, Princetown University Press, New Jersey, 2003.
   Paper not yet in RePEc: Add citation now
   

6. F. Lillo & R. N. Mantegna, Variety and Volatility in Financial Markets. Phys. Rev. E 62, 6126-6134 (2000).

7. H. Levy, M. Levy & S. Solomon, Microscopic Simulation of Financial Markets (Academic Press, San Diego, 2000).

8. Hajime Inaoka, Hideki Takayasu, Tokiko Shimizu, Takuto Ninomiya and Ken Taniguchi, Self-Similarity of Banking Network, Physica A: Statistical Mechanics and its Applications (3-4), 621-634 (2004).

9. I. Molho, Theories of Migration: A Review, Scottish Journal of Political Economy (1986).

10. I. SpÃnulescu, Electricity and Magnetism, Victor Publishing, Bucharest, 2001.
    Paper not yet in RePEc: Add citation now
    

11. J. Anderson, A Theoretical Foundation for the Gravity Equation, American Economic Review (1979).

12. M. Ausloos, J. Miskiewicz, M. Sanglier, The Duration of Recession and Prosperity: Does Their Distribution Follow a Power or an Exponential Law? In arXiv: cond-mat/0403143 VI, March 4 (2004).

13. R. N. Mantegna & H. E. Stanley, An Introduction to Econophysics, Cambridge University Press, Cambridge, 2000.
    Paper not yet in RePEc: Add citation now
    

14. R. N. Mantegna, Z. Palagyl, H. E. Stanley, Applications of Statistical Mechanics to Finance. Physica A 274, 216 (1999).

15. S. Woods, Float Analysis. Powerful Technical Indicators using Price and Volume, John Wiley&Sons, Inc., 2002.
    Paper not yet in RePEc: Add citation now
    
16. T. Suzuki, T. Ikeguchi & M. Suzuki, A model of complex behaviour of interbank exchange markets, in Physica A: Statistical Mechanics and its Applications 337 (1-2), 196-218 (2004).
    Paper not yet in RePEc: Add citation now
    

17. Y. Liu, et al. Statistical Properties of the Volatility of Price Fluctuation. Phys. Rev., E 60, 1390-1400 (1999).

1. Epstein-Zin Utility Maximization on a Random Horizon. (2023). Huang, Yu-Jui ; Aurand, Joshua.
   In: Papers.
   RePEc:arx:papers:1903.08782.

   Full description at Econpapers || Download paper

2. Distributions of Historic Market Data -- Relaxation and Correlations. (2020). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M.
   In: Papers.
   RePEc:arx:papers:1907.05348.

   Full description at Econpapers || Download paper

3. A model for stocks dynamics based on a non-Gaussian path integral. (2019). Paolinelli, Giovanni ; Arioli, Gianni.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:517:y:2019:i:c:p:499-514.

   Full description at Econpapers || Download paper

4. Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang.
   In: Applied Mathematics and Computation.
   RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

   Full description at Econpapers || Download paper

5. Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing.
   In: Papers.
   RePEc:arx:papers:1909.08662.

   Full description at Econpapers || Download paper

6. Quant GANs: Deep Generation of Financial Time Series. (2019). Knobloch, Robert ; Korn, Ralf ; Kretschmer, Peter ; Wiese, Magnus.
   In: Papers.
   RePEc:arx:papers:1907.06673.

   Full description at Econpapers || Download paper

7. The time delay restraining the herd behavior with Bayesian approach. (2018). Li, Jiang-Cheng ; Tao, Hui-Ming ; Zhong, Guang-Yan ; Jiang, George J.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:507:y:2018:i:c:p:335-346.

   Full description at Econpapers || Download paper

8. Investigation of non-Gaussian effects in the Brazilian option market. (2018). Sosa-Correa, William O ; Vasconcelos, Giovani L.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:496:y:2018:i:c:p:525-539.

   Full description at Econpapers || Download paper

9. A model for stocks dynamics based on a non-Gaussian path integral. (2018). Paolinelli, Giovanni ; Arioli, Gianni.
   In: Papers.
   RePEc:arx:papers:1809.01342.

   Full description at Econpapers || Download paper

10. Combined Mutiplicative-Heston Model for Stochastic Volatility. (2018). Serota, R A ; Moghaddam, Dashti M.
    In: Papers.
    RePEc:arx:papers:1807.10793.

    Full description at Econpapers || Download paper

11. Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M.
    In: Papers.
    RePEc:arx:papers:1804.05279.

    Full description at Econpapers || Download paper

12. INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Kirkby, Lars J ; Lian, Guanghua ; Nguyen, Duy.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558.

    Full description at Econpapers || Download paper

13. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42..

    Full description at Econpapers || Download paper

14. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rapstu:v:7:y:2017:i:1:p:2-42..

    Full description at Econpapers || Download paper

15. Volatility smile as relativistic effect. (2017). Kakushadze, Zura.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:475:y:2017:i:c:p:59-76.

    Full description at Econpapers || Download paper

16. Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M.
    In: Papers.
    RePEc:arx:papers:1711.11003.

    Full description at Econpapers || Download paper

17. Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura.
    In: Papers.
    RePEc:arx:papers:1610.02456.

    Full description at Econpapers || Download paper

18. Exponential model for option prices: Application to the Brazilian market. (2016). Carvalho, J A ; Vasconcelos, G L.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:445:y:2016:i:c:p:161-168.

    Full description at Econpapers || Download paper

19. A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns. (2016). Kuzubas, Tolga ; Karahan, Mehmet ; Goncu, Ahmet.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:36:y:2016:i:c:p:69-83.

    Full description at Econpapers || Download paper

20. An approximation of small-time probability density functions in a general jump diffusion model. (2016). Schmidt, Wolfgang M ; Zhang, LE.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:273:y:2016:i:c:p:741-758.

    Full description at Econpapers || Download paper

21. Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils.
    In: Papers.
    RePEc:arx:papers:1610.04760.

    Full description at Econpapers || Download paper

22. The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:1609.02108.

    Full description at Econpapers || Download paper

23. Stochastic Analysis Seminar on Filtering Theory. (2016). Papanicolaou, Andrew.
    In: Papers.
    RePEc:arx:papers:1406.1936.

    Full description at Econpapers || Download paper

24. Pricing forward-start variance swaps with stochastic volatility. (2015). Zhu, Song-Ping ; Lian, Guang-Hua.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:250:y:2015:i:c:p:920-933.

    Full description at Econpapers || Download paper

25. Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach. (2015). Pfante, Oliver ; Bertschinger, Nils.
    In: Papers.
    RePEc:arx:papers:1512.08381.

    Full description at Econpapers || Download paper

26. Option pricing under stochastic volatility and tempered stable Lévy jumps. (2014). Fabozzi, Frank ; Kim, Youngshin ; Zaevski, Tsvetelin S..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:31:y:2014:i:c:p:101-108.

    Full description at Econpapers || Download paper

27. A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns. (2014). Kuzubas, Tolga ; Karahan, Mehmet ; Goncu, Ahmet.
    In: Working Papers.
    RePEc:bou:wpaper:2014/07.

    Full description at Econpapers || Download paper

28. Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models. (2013). Goncu, Ahmet ; Cepni, Oguzhan ; Karahan, Mehmet Oguz.
    In: Working Papers.
    RePEc:bou:wpaper:2013/16.

    Full description at Econpapers || Download paper

29. Treatment of kurtosis in financial markets. (2012). Pérez, Jose ; GARCIA GARCIA, CATALINA ; Lopez Martin, Maria del Mar, ; Perez, Jose Garcia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:5:p:2032-2045.

    Full description at Econpapers || Download paper

30. An Econophysics Model for the Migration Phenomena. (2012). Gheorghiu, Anca ; Spanulescu, Ion.
    In: Papers.
    RePEc:arx:papers:1202.0996.

    Full description at Econpapers || Download paper

31. Estimation of risk-neutral density surfaces. (2011). Tutuncu, R. ; Vicente, L. ; Monteiro, A..
    In: Computational Management Science.
    RePEc:spr:comgts:v:8:y:2011:i:4:p:387-414.

    Full description at Econpapers || Download paper

32. American Options Under Stochastic Volatility. (2011). Muthuraman, Kumar ; Chockalingam, Arun.
    In: Operations Research.
    RePEc:inm:oropre:v:59:y:2011:i:4:p:793-809.

    Full description at Econpapers || Download paper

33. FX Smile in the Heston Model. (2010). Weron, Rafał ; Janek, Agnieszka ; Wystup, Uwe ; Kluge, Tino.
    In: MPRA Paper.
    RePEc:pra:mprapa:25491.

    Full description at Econpapers || Download paper

34. On the density of log-spot in the Heston volatility model. (2010). Utzet, Frederic ; del Baño Rollin, Sebastian, ; Ferreiro-Castilla, Albert.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:120:y:2010:i:10:p:2037-2063.

    Full description at Econpapers || Download paper

35. On refined volatility smile expansion in the Heston model. (2010). Sturm, S. ; Gerhold, S. ; Friz, P. ; Gulisashvili, A..
    In: Papers.
    RePEc:arx:papers:1001.3003.

    Full description at Econpapers || Download paper

36. Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model. (2010). Cazzola, Valentina ; Bormetti, Giacomo ; Delpini, Danilo.
    In: Papers.
    RePEc:arx:papers:0905.1882.

    Full description at Econpapers || Download paper

37. Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:5:y:2009:i:1:p:49-68.

    Full description at Econpapers || Download paper

38. Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data. (2009). Yu, Hai-Chin ; Wu, Ming-Chya ; Chiang, Thomas C..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:8:p:1555-1570.

    Full description at Econpapers || Download paper

39. Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions. (2009). Gheorghiu, Anca ; Spanulescu, Ion.
    In: Papers.
    RePEc:arx:papers:0907.5600.

    Full description at Econpapers || Download paper

40. Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models. (2009). Stein, E. M. ; Gulisashvili, A..
    In: Papers.
    RePEc:arx:papers:0906.0392.

    Full description at Econpapers || Download paper

41. Volatility Effects on the Escape Time in Financial Market Models. (2008). Valenti, Davide ; Spagnolo, Bernardo.
    In: Papers.
    RePEc:arx:papers:0810.1625.

    Full description at Econpapers || Download paper

42. Moment explosions in stochastic volatility models. (2007). Piterbarg, Vladimir ; Andersen, Leif.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

    Full description at Econpapers || Download paper

43. Multiple time scales and the empirical models for stochastic volatility. (2007). Chistilin, K. M. ; Buchbinder, G. L..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:379:y:2007:i:1:p:168-178.

    Full description at Econpapers || Download paper

44. Tests of the random walk hypothesis for financial data. (2007). Nakamura, Tomomichi ; Small, Michael.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:377:y:2007:i:2:p:599-615.

    Full description at Econpapers || Download paper

45. A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model. (2007). Pacelli, Graziella ; Ballestra, Luca Vincenzo ; Zirilli, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:11:p:3420-3437.

    Full description at Econpapers || Download paper

46. A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE. (2005). Sobehart, Jorge R.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003165.

    Full description at Econpapers || Download paper

47. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Borland, Lisa ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500059.

    Full description at Econpapers || Download paper

48. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Borland, L. ; J. -Ph. Bouchaud, .
    In: Papers.
    RePEc:arx:papers:physics/0507073.

    Full description at Econpapers || Download paper

49. Application of the heston and hull-white models to german dax data. (2004). Mahnke, Reinhard ; Remer, Ralf .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:6:p:685-693.

    Full description at Econpapers || Download paper

50. Option pricing and hedging with minimum expected shortfall. (2003). Bouchaud, Jean-Philippe ; Pochard, Benoit.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500029.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 03:01:59 || Missing content? Let us know