Exact simulation of normal tempered stable processes of OU type with applications (Q2080363): Difference between revisions

@@ Property / cites work @@
+Some stationary processes in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
+Normal rank
@@ Property / cites work @@
+Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
+Normal rank
@@ Property / cites work @@
+THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
+Normal rank
@@ Property / cites work @@
+Tempered stable Ornstein– Uhlenbeck processes: A practical view
+Normal rank
@@ Property / cites work @@
+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Mixtures in nonstable Lévy processes
@@ Property / cites work: Mixtures in nonstable Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Selfdecomposability and selfsimilarity: a concise primer
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Random variate generation for exponentially and polynomially tilted stable distributions
+Normal rank
@@ Property / cites work @@
+Variance optimal hedging for continuous time additive processes and applications
+Normal rank
@@ Property / cites work @@
+Tempered Stable Distributions
@@ Property / cites work: Tempered Stable Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Rejection sampling for tempered Lévy processes
@@ Property / cites work: Rejection sampling for tempered Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the simulation of general tempered stable Ornstein–Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Q3084090
@@ Property / cites work: Q3084090 / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling spikes and pricing swing options in electricity markets
+Normal rank
@@ Property / cites work @@
+Sampling Exponentially Tilted Stable Distributions
+Normal rank
@@ Property / cites work @@
+A two-factor model for the electricity forward market
+Normal rank
@@ Property / cites work @@
+Q3633248
@@ Property / cites work: Q3633248 / rank @@
+Normal rank
@@ Property / cites work @@
+Bilateral gamma distributions and processes in financial mathematics
+Normal rank
@@ Property / cites work @@
+Tempered stable distributions and processes
@@ Property / cites work: Tempered stable distributions and processes / rank @@
+Normal rank
@@ Property / cites work @@
+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
+Normal rank
@@ Property / cites work @@
+MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
+Normal rank
@@ Property / cites work @@
+Generating Random Variates Using Transformations with Multiple Roots
+Normal rank
@@ Property / cites work @@
+Exact simulation of Ornstein–Uhlenbeck tempered stable processes
+Normal rank
@@ Property / cites work @@
+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives
+Normal rank
@@ Property / cites work @@
+Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
+Normal rank
@@ Property / cites work @@
+Gamma-related Ornstein–Uhlenbeck processes and their simulation*
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank