1. Modeling and simulation of financial returns under non-Gaussian distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica.
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2. Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica.
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3. Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2023). Mittnik, Stefan ; Rachev, Svetlozar T ; Lindquist, Brent W ; Shirvani, Abootaleb.
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4. Student’s t mixture models for stock indices. A comparative study. (2021). Ramos, Arturo ; Massing, Till.
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5. A review of Student’s t distribution and its generalizations. (2020). Nadarajah, Saralees ; Li, Rui.
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6. Generalised geometric Brownian motion: Theory and applications to option pricing. (2020). Stojkoski, Viktor ; Sandev, Trifce ; Metzler, Ralf ; Kocarev, Ljupco ; Basnarkov, Lasko.
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7. OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS. (2019). Stojkoski, Viktor ; Utkovski, Zoran ; Kocarev, Ljupco ; Basnarkov, Lasko.
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8. What is the best Lévy model for stock indices? A comparative study with a view to time consistency. (2019). Massing, Till.
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9. Portfolio optimization with entropic value-at-risk. (2019). Fallah-Tafti, Malihe ; Ahmadi-Javid, Amir.
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10. Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2019). Stojkoski, Viktor ; Utkovski, Zoran ; Kocarev, Ljupco ; Basnarkov, Lasko.
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11. Simulation of Student–Lévy processes using series representations. (2018). Massing, Till.
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12. A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases. (2018). Kwok, Simon Sai Man ; Choy, S.T. Boris ; Boris, S T ; Yeap, Claudia.
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13. European option pricing under the Student’s t noise with jumps. (2017). Li, Zhe ; Wang, Xiao-Tian ; Zhuang, LE.
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14. A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases. (2016). Kwok, Simon Sai Man ; Choy, S.T. Boris ; Boris, S T ; Yeap, Claudia.
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15. A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases. (2016). Boris, S T ; Kwok, Simon S ; Yeap, Claudia.
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16. Polynomial extensions of distributions and their applications in actuarial and financial modeling. (2014). Li, Hao ; Melnikov, Alexander.
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17. Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae. (2013). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
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1. Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Srivastava, R ; Taneja, H C ; Malhotra, Gifty.
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2. On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model. (2013). Ewald, Christian-Oliver ; Sai Hung Marten Ting, .
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3. Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data. (2013). Xu, Zheng.
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4. What drives option prices ?. (2012). Abergel, Frederic ; Zaatour, Riadh.
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5. Students t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae. (2010). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
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6. Learning and Asset-Price Jumps. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
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7. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
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8. Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. (2009). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
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9. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
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10. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris.
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11. Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris.
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12. Tails, Fears and Risk Premia. (2009). Bollerslev, Tim ; Todorov, Viktor.
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13. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
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14. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
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15. Estimating asset correlations from stock prices or default rates: which method is superior?. (2008). Kunisch, Michael ; Dullmann, Klaus ; Kull, Jonathan .
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16. Determinants of the implied volatility function on the Italian Stock Market.. (2008). Beber, Alessandro.
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17. Measuring Model Risk. (2008). Sibbertsen, Philipp ; Stahl, Gerhard ; Luedtke, Corinna.
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18. Asset Pricing in a Two-Country Discontinuous General Equilibrium Model. (2008). Necula, Ciprian.
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19. Volatility, Jumps and Predictability of Returns: a Sequential Analysis. (2008). Raggi, Davide ; Bordignon, S..
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20. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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21. Models with time-dependent parameters using transform methods: application to Hestons model. (2008). Elices, A..
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22. Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-11.

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23. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Wang, Yintian ; Dorion, Kris.
    In: CREATES Research Papers.
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24. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
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25. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Jacobs, Kris ; Mimouni, Karim.
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26. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
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27. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
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28. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
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29. Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities. (2006). Sun, Zhiqiang ; Ritchken, Peter ; Duan, Jin-Chuan.
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30. Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating. (2006). Telfah, Ahmad.
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31. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts. (2005). Mittnik, Stefan ; Mizrach, Bruce ; Haas, Markus.
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32. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
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33. The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices. (2005). Nielsen, Morten ; Christensen, Bent Jesper.
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34. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
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35. Co-movements of Index Options and Futures Quotes. (2005). Fahlenbrach, Ruediger ; Sandas, Patrik .
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36. Forecasting Livestock Feed Cost Risks Using Futures and Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
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37. Managing Livestock Feed Cost Risks Using Futures and Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
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38. Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
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39. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
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40. Why is the index smile so steep?. (2004). Schlag, Christian ; Branger, Nicole.
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41. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
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42. Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options. (2004). Han, Bin.
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43. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
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44. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
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45. Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data. (2002). Koekebakker, Steen ; Lien, Gudbrand.
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46. An Eigenfunction Approach for Volatility Modeling.. (2001). Meddahi, Nour.
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47. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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48. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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49. Precificação de Opções com Volatilidade Estocástica e Saltos. (1999). Da Silva, M. E. ; Guimares, B. V..
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50. A closed-form GARCH option pricing model. (1997). Heston, Steven L. ; Nandi, Saikat.
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