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2. Generalized Hyperbolic Distributions and Brazilian Data. (2004). Fajardo, José ; Farias, Aquiles.
   In: Brazilian Review of Econometrics.
   RePEc:sbe:breart:v:24:y:2004:i:2:a:2712.

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3. Generalized Hyperbolic Distributions and Brazilian Data. (2003). Fajardo, José ; de Farias, Aquiles.
   In: Finance Lab Working Papers.
   RePEc:ibm:finlab:flwp_57.

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4. Volatility Estimation and Option Pricing with Fractional Brownian Motion. (2003). Fajardo, José ; Cajueiro, Daniel.
   In: Finance Lab Working Papers.
   RePEc:ibm:finlab:flwp_53.

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1. Extracting market information from equity options with exponential Lévy processes. (2014). Fabozzi, Frank ; TUNARU, RADU S. ; Leccadito, Arturo.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:38:y:2014:i:c:p:125-141.

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2. Dependence Calibration and Portfolio Fit with FactorBased Time Changes. (2014). Semeraro, Patrizia ; Marena, Marina ; luciano, elisa.
   In: Carlo Alberto Notebooks.
   RePEc:cca:wpaper:307.

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3. Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (2014). Itkin, Andrey.
   In: Papers.
   RePEc:arx:papers:1405.6111.

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4. Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market. (2014). Wang, Li-Xin.
   In: Papers.
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5. High-order short-time expansions for ATM option prices of exponential L\evy models. (2014). Gong, Ruoting ; Jos'e E. Figueroa-L'opez, ; Christian Houdr'e, .
   In: Papers.
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6. On portfolio risk estimation. (2013). Safarian, Mher .
   In: Working Paper Series in Economics.
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7. Basics of Levy processes. (2012). Shephard, Neil ; Barndorff-Nielsen, Ole E..
   In: Economics Series Working Papers.
   RePEc:oxf:wpaper:610.

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8. Basics of Levy processes. (2012). Shephard, Neil ; Barndorff-Nielsen, Ole E..
   In: Economics Papers.
   RePEc:nuf:econwp:1206.

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9. Factor Models for Option Pricing. (2012). Carr, Peter ; Madan, Dilip.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:19:y:2012:i:4:p:319-329.

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10. Option calibration of exponential Lévy models: Implementation and empirical results. (2012). Trabs, Mathias ; Sohl, Jacob .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-017.

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11. U.S. stock market crash risk, 1926–2010. (2012). Bates, David S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:2:p:229-259.

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12. Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?. (2012). Eling, Martin.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:2:p:239-248.

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13. Equilibruim approach of asset pricing under Lévy process. (2012). Fu, Jun ; Yang, Hailiang.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:223:y:2012:i:3:p:701-708.

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14. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution. (2012). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3690-3704.

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15. Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. (2012). Pistorius, Martijn ; Stolte, Johannes.
    In: Papers.
    RePEc:arx:papers:1203.6899.

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16. Option calibration of exponential L\evy models: Confidence intervals and empirical results. (2012). Trabs, Mathias ; Sohl, Jakob.
    In: Papers.
    RePEc:arx:papers:1202.5983.

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17. High-order short-time expansions for ATM option prices under the CGMY model. (2012). Gong, Ruoting ; Jos'e E. Figueroa-L'opez, ; Christian Houdr'e, .
    In: Papers.
    RePEc:arx:papers:1112.3111.

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18. Calibration of selfdecomposable Lévy models. (2011). Trabs, Mathias.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2011-073.

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19. Market volatility modeling for short time window. (2011). Ferreira, Tiago A. E., ; de Mattos Neto, Paulo S. G., ; Silva, David A. ; Cavalcanti, George D. C., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:20:p:3444-3453.

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20. Heavy-tailed distributions in VaR calculations. (2010). Weron, Rafał ; Misiorek, Adam.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1005.

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21. Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions. (2010). Egami, Masahiko ; Yamazaki, Kazutoshi.
    In: Discussion papers.
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22. First-passage probability, jump models, and intra-horizon risk. (2010). Bakshi, Gurdip ; Panayotov, George.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:95:y:2010:i:1:p:20-40.

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23. U.S. Stock Market Crash Risk, 1926-2006. (2009). Bates, David S..
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24. Spectral estimation of the fractional order of a Lévy process. (2009). Belomestny, Denis.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-021.

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25. Bounds and approximations for sums of dependent log-elliptical random variables. (2009). Vanduffel, Steven ; Valdez, Emiliano ; Dhaene, Jan ; Maj, Mateusz.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:3:p:385-397.

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26. Skewness Premium with Lévy Processes. (2009). Fajardo, José ; Mordecki, Ernesto.
    In: CREATES Research Papers.
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27. Symmetry and Time Changed Brownian Motions. (2008). Fajardo, José ; Mordecki, Ernesto.
    In: IBMEC RJ Economics Discussion Papers.
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28. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:207-226.

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29. Backtesting trading risk of commercial banks using expected shortfall. (2008). Wong, Woon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1404-1415.

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30. No-Free-Lunch equivalences for exponential Levy models. (2008). Kardaras, Constantinos.
    In: Papers.
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31. Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. (2006). Madan, Dilip B..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:6:p:455-463.

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32. Skewness Premium with Lévy Processes. (2006). Fajardo, José ; Mordecki, Ernesto.
    In: IBMEC RJ Economics Discussion Papers.
    RePEc:ibr:dpaper:2006-04.

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33. Spectral calibration of exponential Lévy Models [1]. (2006). Reiss, Markus ; Belomestny, Denis.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-034.

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34. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. (2006). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:1:p:195-214.

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35. Price limits and capital requirements of futures clearinghouses. (2006). Balakrishnan, Narayanaswamy ; Shanker, Latha.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:168:y:2006:i:2:p:281-290.

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36. Variance-optimal hedging for processes with stationary independent increments. (2006). Krawczyk, Leszek ; Kallsen, Jan ; Hubalek, Friedrich.
    In: Papers.
    RePEc:arx:papers:math/0607112.

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37. Optimal Portfolio Structuring in Emerging Stock Markets Using Robust Statistics. (2005). Porto, Oscar ; Duarte, Antonio M.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:25:y:2005:i:2:a:2502.

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38. Equivalent Martingale Measures and Lévy Processes. (2005). Fajardo, José.
    In: IBMEC RJ Economics Discussion Papers.
    RePEc:ibr:dpaper:2005-07.

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39. A Lévy process-based framework for the fair valuation of participating life insurance contracts. (2005). Ballotta, Laura.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:2:p:173-196.

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40. Computationally intensive Value at Risk calculations. (2004). Weron, Rafał.
    In: Papers.
    RePEc:zbw:caseps:200432.

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41. Static Hedging of Standard Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
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42. Generalized Hyperbolic Distributions and Brazilian Data. (2004). Fajardo, José ; Farias, Aquiles.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2712.

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43. Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas. (2004). Jose Carlos Ramirez Sanchez, .
    In: Revista de Analisis Economico – Economic Analysis Review.
    RePEc:ila:anaeco:v:19:y:2004:i:1:p:51-76.

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44. Disentangling diffusion from jumps. (2004). Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528.

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45. Fitting bivariate cumulative returns with copulas. (2004). Hurlimann, Werner.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:45:y:2004:i:2:p:355-372.

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46. The American put and European options near expiry, under Levy processes. (2004). Levendorskii, Sergei.
    In: Papers.
    RePEc:arx:papers:cond-mat/0404103.

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47. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

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48. Generalized Hyperbolic Distributions and Brazilian Data. (2003). Fajardo, José ; de Farias, Aquiles.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_57.

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49. Volatility Estimation and Option Pricing with Fractional Brownian Motion. (2003). Fajardo, José ; Cajueiro, Daniel.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_53.

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50. A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes. (2001). Lewis, Alan.
    In: Related articles.
    RePEc:vsv:svpubs:explevy.

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51. Lévy processes and the Brazilian market. (2001). Silva, Andre ; Fajardo, José ; Barbachan, Jose Fajardo ; Schuschny, Andres Ricardo ; de Castro, Andre.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:21:y:2001:i:2:a:2752.

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52. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE. (2000). Fiorentini, Gabriele ; Leon, ngel ; Rubio, Gonzalo.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2000-25.

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53. Optimal portfolios for logarithmic utility. (2000). Goll, Thomas ; Kallsen, Jan.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

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54. Optimal Consumption and Investment with Levy Processes. (2000). Fajardo, José.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1146.

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55. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Rubio, Gonzalo ; Angel León, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

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