| Reference: | Ané, T., and H. Geman, 2000, "Order Flow, Transaction Clock, and Normality of Asset Re-turns." Journal of Finance 55, 2259-2284.
Applebaum, D, 2004, Lévy processes and stochastic calculus (Cambridge Univ Press).
Barndorff-Nielsen, O, 1998, "Processes of Normal Inverse Gaussian type." Finance and Sto-chastics 2, 41-68.
Barndorff-Nielsen, O., and N. Shephard, 2001, "Non-Gaussian Ornstein-Uhlenbeck-based mod-els and some of their uses in financial economics." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 63, 167-241.
Bekaert, G., and G. Wu, 2000 "Asymmetric volatility and risk in equity markets." Review of Financial Studies 13, 1-42.
Benth, F., K. Karlsen and K. Reikvam, 2001, "A Note on Portfolio Management under Non-Gaussian Logreturns." International Journal of Theoretical and Applied Finance 4, 711-732.
—, 2003, "Merton’s Portfolio Optimization Problem in a Black and Scholes Market with Non-Gaussian Stochastic Volatility." Mathematical Finance 13, 215-244.
Bertoin, J, 1996, Lévy processes (Cambridge Univ Press).
Black, F., 1976, "Studies of stock price volatility changes." In Meeting of the American Statistical Association, Business and Economical Statistics Section.
Campbell, J. Y. and L. Hentschel, 1992, ‘’No News is Good News. An Asymmetric Model of Changing Volatility in Stock Return.’’ Journal of Financial Economics 31, 281-318.
Campbell, J., A. Lo, and A. MacKinlay, 1997, The Econometrics of Financial Markets (Prince-ton University Press).
Carr, P., H. Geman, D. Madan, and M. Yor, 2002, "The Fine Structure of Asset Returns: An Empirical Investigation." Journal of Business 75, 305-332.
—, 2003, "Stochastic Volatility for Lévy Processes." Mathematical Finance 13, 345-382.
Carr, P., and L. Wu, 2004, "Time-changed Lévy Processes and Option Pricing." Journal of Fi-nancial Economics 71, 113-141.
—, 2007, "Stochastic Skew in Currency Options." Journal of Financial Economics 86, 213-247.
—, 2008 "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions: Disen-tangling the Multi-Dimensional s in S&P 500 Index Options." Working Paper.
Cartea, Á., and S. Howison, 2003, Distinguished limits of Lévy-Stable processes, and applica-tions to option pricing: Mathematical Institute, University of Oxford,.
Chacko, G., and L. Viceira, 2005, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets." Review of Financial Studies 18, 1369-1402.
—, 2003, "Spectral GMM estimation of continuous-time processes." Journal of Econometrics 116, 259-292.
Chernov, M., A. Ronald Gallant, E. Ghysels and G. Tauchen, 2003, "Alternative models for stock price dynamics." Journal of Econometrics 116, 225-257.
Christie, A, 1982, "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects." Journal of Financial Economics 10, 407-432.
Chung, C. F., B. S. Kuo and C. Y. Yeh, 2008, "How does the Volatility Feedback Effect Affect Asymmetric Volatility and Dynamic Asset Allocation." Working Paper.
Chunhachinda, P., K. Dandapani, S. Hamid and A. Prakash, 1997, "Portfolio Selection and Skewness: Evidence from International Stock Markets." Journal of Banking & Finance 21, 143-168.
Clark, P, 1973, "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41, 135-155.
Cont, R, 2001, "Empirical properties of asset returns: stylized facts and statistical issues." Quan-titative Finance 1, 223-236.
Cont, R., and P. Tankov, 2004, Financial Modelling with Jump Processes (CRC Press).
Cox, J., J. Ingersoll Jr, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates." Econometrica 53, 385-407.
Cvitanić, J., V. Polimenis and F. Zapatero, 2008, "Optimal Portfolio Allocation with Higher Moments." Annals of Finance 4, 1-28.
Duffie, D., J. Pan and K. Singleton, 2000, "Transform Analysis and Asset Pricing for Affine Jump-diffusions." Econometrica 68, 1343-1376.
Eberlein, E., and U. Keller, 1995, "Hyperbolic Distributions in Finance." Bernoulli 281-299.
Engle, R, 1982, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50, 987-1007.
Fama, E. F, 1965, "The Behavior of Stock-market Prices." Journal of Business 38, 34-105.
Geman, H, 2002, "Pure Jump Lévy Processes for Asset Price Modelling." Journal of Banking & Finance 26, 1297-1316.
—, 2005, "From Measure Changes to Time Changes in Asset Pricing." Journal of Banking &Finance 29, 2701-2722.
Geman, H. and T. Ané, 1996, "Stochastic Subordination." Risk 9, 145-149.
Geman, H., D. Madan and M. Yor, 2001, "Time Changes for Lévy Processes." Mathematical Finance 11, 79-96.
Gron, A., B. Jørgensen and N. Polson, 2004, "Optimal Portfolio Choice and Stochastic Volatili-ty." Working Paper.
Huang, J. and L. Wu, 2004, "Specification analysis of option pricing models based on time-changed Lévy processes." Journal of Finance 59, 1405-1439.
Jacob, J. and A. Shiryaev, 2003, Limit Theorems for Stochastic Processes, 2nd (Berlin: Sprin-ger-Verlag).
Jondeau, E., S. Poon and M. Rockinger, 2007, Financial Modeling under Non-Gaussian Distri-butions (Springer Verlag).
Kallsen, J, 2000, "Optimal Portfolios for Exponential Lévy Processes." Mathematical Methods of Operations Research 51, 357-374.
Karatzas, I. and S. Shreve, 1991, Brownian motion and stochastic calculus (Springer).
Kraus, A. and R. Litzenberger, 1976, "Skewness Preference and the Valuation of Risk Assets." Journal of Finance 1085-1100.
Liu, J, 2007, "Portfolio Selection in Stochastic Environments." Review of Financial Studies 20, 1-39.
Liu, J., F. Longstaff and J. Pan, 2003, "Dynamic Asset Allocation with Event Risk." Journal of Finance 231-259.
Ma, J., and J. Yong, 1999, Forward-backward Stochastic Differential Equations and Their Ap-plications: Differential Equations and Their Applications (Springer Verlag).
Madan, D., P. Carr and E. Chang, 1998, "The variance gamma process and option pricing." Eu-ropean Finance Review 2, 79-105.
Madan, D., and E. Seneta, 1990, "The Variance Gamma (VG) Model for Share Market Returns." Journal of Business 63, 511-524.
Madan, D. and M. Yor, 2008, "Representing CGMY and Meixner Lévy Processes as Time Change Brownian Motions." Journal of Computational Finance 12, 27-47.
Mandelbrot, B, 1963, "The of Certain Speculative Prices." Journal of Business 36, 394-419.
Mendoza, R., P. Carr and V. Linetsky, 2008, "Time Changed Markov Processes in Unified Cre-dit-Equity Modeling." Mathematical Finance, forthcoming.
Merton, R, 1971, "Optimum Consumption and Portfolio Rules in a Continuous-time Model." Journal of Economic Theory 3, 373–413.
Mo, H. and L. Wu, 2007, "International Capital Asset Pricing: Theory and Evidence from Index Options." Journal of Empirical Finance 14, 465-498.
Monroe, I, 1978, "Processes that Can Be Embedded in Brownian Motion." Annals of Probability 6, 42-56.
Nelson, D, 1991, "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econo-metrica 59, 347-370.
Nunno, G., T. Meyer-Brandis, B. Øksendal and F. Proske, 2006, "Optimal Portfolio for an In-sider in a Market Driven by Lévy processes." Quantitative Finance 6, 83-94.
Øksendal, B. and A. Sulem, 2005, Applied Stochastic Control of Jump Diffusions (Sprin-ger-Verlag Berlin Heidelberg).
Rydberg, T, 1999, "Generalized Hyperbolic Diffusion Processes with Applications in Finance." Mathematical Finance 9, 183-201.
Sato, K, 1999, Lévy processes and infinitely divisible distributions (Cambridge Univ Press).
Wachter, J, 2002, "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets." Journal of Financial and Quantitative Analysis 37, 63-91.
Wu, G, 2001, "The Determinants of Asymmetric Volatility." Review of Financial Studies 14, 837-859.
Wu, L, 2003, "Jumps and Dynamic Asset Allocation." Review of Quantitative Finance and Ac-counting 20, 207-243.
—, 2006 "Dampened Power Law: Reconciling the Tail Behavior of Financial Asset Returns." Journal of Business 79, 1445-1474.
—, 2008, "Modeling financial security returns using Lévy processes." In Handbook of Financial Engineering, J. Birge and V. Linetsky, eds. Elsevie |
