Bibliography¶
The raw BibTeX source for all entries is available in references.bib.
bertoin¶
J. Bertoin. (1996) Lévy Processes, Cambridge University Press
bns¶
O.E. Barndorff-Nielsen, N. Shephard. (2001) Non-Gaussian OU based models and some of their uses in financial economics, Journal of the Royal Statistical Society, 63(2)
carr_madan¶
P. Carr, D. Madan. (1999) Option valuation using the fast Fourier transform, Journal of Computational Finance, 3:463-520
carr_wu¶
P. Carr, L. Wu. (2002) Time-changed Lévy processes and option pricing, Journal of Financial Economics, 7:113-141
cgmy¶
Carr P., Geman H., Madan D.B., Yor M. (2003) Stochastic Volatility for Lévy processes, Mathematical Finance, 13(3)
chourdakis¶
K. Chourdakis. (2004) Option Pricing Using the Fractional FFT, Journal of Computational Finance, 8:1-18
cos¶
F. Fang, K. Oosterlee. (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
dsp¶
Unknown. (2017) Doubly Stochastic Poisson Processes with Affine Intensities, internet
durbin_koopman¶
J. Durbin, S. J. Koopman. (2012) Time Series Analysis by State Space Methods, Oxford University Press
ekf¶
Wang X., He X., Zhao Y., Zuo Z. (2017) Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter, internet
gamma-ou¶
P. Sabino, C. Petroni. (2021) Gamma Related Ornstein-Uhlenbeck Processes and their Simulation, Journal of Statistical Computation and Simulation, 91(6)
gatheral_jacquier¶
Jim Gatheral, Antoine Jacquier. (2014) Arbitrage-free SVI volatility surfaces, Quantitative Finance, 14(1):59-71
gatheral_svi¶
Jim Gatheral. (2004) A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives
gauthier¶
Geneviève Gauthier, Frédéric Godin, Sebastien Legros. (2025) Deep Implied Volatility Factor Models for Stock Options
hendriks_martini¶
Sebas Hendriks, Claude Martini. (2019) The extended SSVI volatility surface, Journal of Computational Finance, 22(5):25-39
heston-calibration¶
Milan Mrázek, Jan Pospíšil. (2017) Calibration and simulation of Heston model, Open Mathematics, 15(1):679-704
heston-simulation¶
Leif B.G. Andersen. (2008) Efficient Simulation of the Heston Stochastic Volatility Model, Journal of Computational Finance, 11(3)
julier_uhlmann¶
S. J. Julier, J. K. Uhlmann. (1997) New extension of the Kalman filter to nonlinear systems, Proceedings of SPIE, 3068:182-193
kalman¶
R. E. Kalman. (1960) A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering, 82(1):35-45
lee_option¶
R. W. Lee. (2004) Option Pricing by Transform Methods: Extensions, Unification, and Error Control
lewis¶
A. L. Lewis. (2001) A Simple Option Formula for General Jump-Diffusion and other Exponential Lévy Processes
molnar¶
Peter Molnar. (2020) Volatility modeling and forecasting: utilization of realized volatility, implied volatility and the highest and lowest price of the day, University of Economics in Prague
saez¶
G. K. G. Saez. (2014) Fourier Transform Methods for Option Pricing: An Application to extended Heston-type Models, Universidad del Pais Vasco
ssvi_calibration¶
Pierre Cohort, Jacopo Corbetta, Claude Martini, Ismail Laachir. (2019) Robust calibration and arbitrage-free interpolation of SSVI slices, Decisions in Economics and Finance, 42(2)
ukf¶
Merwe. (2014) The Unscented Kalman Filter for Nonlinear Estimation, internet