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1. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
   Other versions:
   • José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department. [Downloadable!]
2. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany. [Downloadable!]
3. Akihiko Takahashi & Akira Yamazaki, 2008. "Efficient Static Replication of European Options under Exponential Levy Models," CIRJE F-Series CIRJE-F-539, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
4. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, EconWPA. [Downloadable!]
   Other versions:
   • Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, 08. [Downloadable!] (restricted)
5. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January. [Downloadable!] (restricted)
6. Svetlana Boyarchenko, 2001. "Capital Accumulation under Non-Gaussian Processes and the Marshallian Law," Penn CARESS Working Papers 471ab9dee66c9aa1d3ef23dd9, Penn Economics Department. [Downloadable!]
7. Akihiko Takahashi & Akira Yamazaki, 2007. "Efficient Static Replication of European Options for Exponential Levy Models," CIRJE F-Series CIRJE-F-513, CIRJE, Faculty of Economics, University of Tokyo.
8. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA. [Downloadable!]
9. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics. [Downloadable!]
10. Martin Keller-Ressel, 2008. "Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models," Quantitative Finance Papers 0802.1823, arXiv.org, revised Oct 2008. [Downloadable!]
11. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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    • Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252. [Downloadable!] (restricted)
12. Hiroki Masuda, 2005. "Classical Method of Moments for Partially and Discretely Observed Ergodic Models," Statistical Inference for Stochastic Processes, Springer, vol. 8(1), pages 25-50, January. [Downloadable!] (restricted)
13. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society. [Downloadable!]
    Other versions:
    • José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
14. Fred Espen Benth & Jūratė Šaltytė-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 53-85, March. [Downloadable!] (restricted)
15. James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, EconWPA, revised 04 Apr 2003. [Downloadable!]
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    • Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October. [Downloadable!] (restricted)
16. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA. [Downloadable!]
17. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
    Other versions:
    • Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January. [Downloadable!] (restricted)
18. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
    • Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37. [Downloadable!] (restricted)
19. José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
    Other versions:
    • Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers flwp_61, Finance Lab, Ibmec São Paulo. [Downloadable!]
    • Jose Santiago Fajardo, 2007. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 60(4), pages 353-362, February. [Downloadable!]
20. Neil Shephard & Ole E. Barndorff-Nielsen, 2001. "Normal Modified Stable Processes," Economics Series Working Papers 072, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
    • Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
21. Noureddine Krichene, 2008. "Crude Oil Prices: Trends and Forecast," IMF Working Papers 08/133, International Monetary Fund. [Downloadable!]
22. Nguyen Thanh Long, 2002. "Analytical Aproach to Value Options with State Variables of a Levy System," Finance 0207004, EconWPA, revised 19 Nov 2002. [Downloadable!]
23. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
    Other versions:
    • Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA. [Downloadable!]
    • Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes," Journal of Finance, American Finance Association, vol. 59(3), pages 1405-1440, 06. [Downloadable!] (restricted)
24. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2008. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," BIS Working Papers 249, Bank for International Settlements. [Downloadable!]