RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
General information
Latest issue
Archive
Impact factor
Subscription
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Teor. Veroyatnost. i Primenen., 2010, Volume 55, Issue 1, Pages 59–86 (Mi tvp4176)  

This article is cited in 13 scientific papers (total in 13 papers)

Tempered infinitely divisible distributions and processes

M. Bianchia, S. T. Rachevb, Y. S. Kimc, F. J. Fabozzid

a Università degli Studi Roma Tre, Dipartimento di Ingegneria Elettronica
b Institute of Mathematics and Informatics, Bulgarian Academy of Sciences
c Universität Karlsruhe
d Yale University

DOI: https://doi.org/10.4213/tvp4176

Full text: PDF file (261 kB)
References: PDF file   HTML file

English version:
Theory of Probability and its Applications, 2011, 55:1, 2–26

Bibliographic databases:

Received: 06.10.2008
Revised: 30.10.2009
Language:

Citation: M. Bianchi, S. T. Rachev, Y. S. Kim, F. J. Fabozzi, “Tempered infinitely divisible distributions and processes”, Teor. Veroyatnost. i Primenen., 55:1 (2010), 59–86; Theory Probab. Appl., 55:1 (2011), 2–26

Citation in format AMSBIB
\Bibitem{BiaRacKim10}
\by M.~Bianchi, S.~T.~Rachev, Y.~S.~Kim, F.~J.~Fabozzi
\paper Tempered infinitely divisible distributions and processes
\jour Teor. Veroyatnost. i Primenen.
\yr 2010
\vol 55
\issue 1
\pages 59--86
\mathnet{http://mi.mathnet.ru/tvp4176}
\crossref{https://doi.org/10.4213/tvp4176}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2768518}
\transl
\jour Theory Probab. Appl.
\yr 2011
\vol 55
\issue 1
\pages 2--26
\crossref{https://doi.org/10.1137/S0040585X97984632}
\isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=000288119100001}
\scopus{http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-79955539078}


Linking options:
  • http://mi.mathnet.ru/eng/tvp4176
  • https://doi.org/10.4213/tvp4176
  • http://mi.mathnet.ru/eng/tvp/v55/i1/p59

    SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru


    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Grabchak M., “On a new class of tempered stable distributions: moments and regular variation”, J. Appl. Probab., 49:4 (2012), 1015–1035  crossref  mathscinet  zmath  isi
    2. U. Küchler, S. Tappe, “Tempered stable distributions and processes”, Stochastic Process. Appl., 123:12 (2013), 4256–4293  crossref  mathscinet  zmath  isi
    3. U. Küchler, S. Tappe, “Exponential stock models driven by tempered stable processes”, J. Econometrics, 181:1 (2014), 53–63  crossref  mathscinet  zmath  isi
    4. Theory Probab. Appl., 59:2 (2015), 222–243  mathnet  crossref  crossref  mathscinet  isi  elib  elib
    5. Bianchi M.L., Fabozzi F.J., “Discussion of ‘on Simulation and Properties of the Stable Law’ By Devroye and James”, Stat. Method. Appl., 23:3 (2014), 353–357  crossref  mathscinet  zmath  isi
    6. Grabchak M., “Inversions of Levy Measures and the Relation Between Long and Short Time Behavior of Levy Processes”, J. Theor. Probab., 28:1 (2015), 184–197  crossref  mathscinet  zmath  isi
    7. Fallahgoul H.A., Kim Y.S., Fabozzi F.J., “Elliptical tempered stable distribution”, Quant. Financ., 16:7 (2016), 1069–1087  crossref  mathscinet  isi  scopus
    8. Grabchak M., “Domains of Attraction For Positive and Discrete Tempered Stable Distributions”, J. Appl. Probab., 55:1 (2018), 30–42  crossref  mathscinet  isi
    9. Zhu F., Quan W., Zheng Z., Wan Sh., “A Bayesian Learning Method For Financial Time-Series Analysis”, IEEE Access, 6 (2018), 38959–38966  crossref  isi  scopus
    10. Fallahgoul H.A., Kim Y.S., Fabozzi F.J., Park J., “Quanto Option Pricing With Levy Models”, Comput. Econ., 53:3 (2019), 1279–1308  crossref  isi  scopus
    11. Ivanov V R., Ano K., “Option Pricing in Time-Changed Levy Models With Compound Poisson Jumps”, Mod. Stoch.-THeory Appl., 6:1 (2019), 81–107  crossref  mathscinet  isi
    12. Grabchak M., “Rejection Sampling For Tempered Levy Processes”, Stat. Comput., 29:3 (2019), 549–558  crossref  isi  scopus
    13. Kim Y.Sh., Jiang D., Stoyanov S., “Long and Short Memory in the Risk-Neutral Pricing Process”, J. Deriv., 26:4 (2019), 71–88  crossref  isi
  • Теория вероятностей и ее применения Theory of Probability and its Applications
    Number of views:
    This page:251
    Full text:56
    References:66

     
    Contact us:
     Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2019