1 |
Antonov, A., Mechkov, H. and Misirpashaev, T. (2005). Analytical techniques for synthetic CDOs and credit default risk measures, Technical Report, Numerix, New York.
|
2 |
Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9, 203-228.
DOI
|
3 |
Barndorff-Nielsen, O. E. (1977). Exponentially decreasing distributions for the logarithm of the particle size. Proceedings of the Royal Society, London A. Mathematical and Physical Sciences, 353, 401-419.
DOI
|
4 |
Barndorff-Nielsen, O. E. and Blaesild, P. (1981). Hyperbolic distributions and ramications: Contributions to theory and application. Statistical Distributions in Scientic Work, 4, 19-44.
|
5 |
Barndorff-Nielsen, O. E., Blaesild, P., Jensen, J. L. and Sorensen, M. (1985). The fascination of sand, In A.C. Atkinson, S. E. Fienberg (eds), A Celebration of Statistics, 57-87, Springer, New York.
|
6 |
Barndorff-Nielsen, O. E., Jensen, J. L. and Sorensen, M. (1989). Wind shear and hyperbolic distributions. Boundary-Layer Meteorology, 49, 417-431.
DOI
|
7 |
Barndorff-Nielsen, O. E. and Cox, D. R. (1979). Edgeworth and Saddlepoint approximations with statistical applications. Journal of the Royal Statistical Society B, 41, 279-312.
|
8 |
Daniels, H. E. (1954). Saddlepoint approximations in statistics. The Annals of Mathematical Statistics, 25, 631-650.
DOI
|
9 |
Daniels, H. E. (1987). Tail probability approximations. International Statistical Review, 55, 37-48.
DOI
|
10 |
Eberlein, E. and Keller, U. (1995). Hyperbolic distributions in finance. Bernoulli, 1, 281-299.
DOI
|
11 |
Frey, R. and McNeil, A. (2002). VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights. Journal of Banking and Finance, 26, 1317-1334.
DOI
|
12 |
Hu, W. (2005). Calibration of multivariate generalized hyperbolic distributions using the EM algorithm, with applications in risk management, portfolio optimization, and portfolio credit risk, Ph.D. Thesis, Florida State University.
|
13 |
Hu, W. and Kercheval, A. (2007). Risk management with generalized hyperbolic distributions, Proceeding of the Fourth IASTED International Conference on Financial Engineering and Applications, 19-24.
|
14 |
Huang, X. and Oosterlee C. W. (2009). Saddlepoint approximations for expectations, Delft University of Technology, Faculty of Electrical and Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics, Netherlands.
|
15 |
Luethi, D. and Breymann, W. (2011). R package 'ghyp', http://cran.r-project.org.
|
16 |
Lugannani, R. and Rice, S. (1980). Saddlepoint approximations for the distribution of the sum of independent random variables. Advances in Applied Probability, 12, 475-490.
DOI
|
17 |
Na, J. H. and Yu, H. K. (2013). Saddlepoint approximation for distribution function of sample mean of skew-normal distribution. Journal of the Korean Data & Information Science Society, 24, 1211-1219.
DOI
|
18 |
Rogers, L. C. G. and Zane, O. (1999). Saddlepoint approximations to option prices. The Annals of Applied Probability, 9, 493-503.
DOI
|
19 |
Scott, D. (2009). R package 'HyperbolicDist', http://cran.r-project.org.
|
20 |
Scott, D. (2015). R package 'GeneralizedHyperbolic', http://cran.r-project.org.
|
21 |
Yang, J., Hurd, T. and Zhang, X. (2006). Saddlepoint approximation method for pricing CDOs, Journal of Computational Finance, 10, 1-20.
|
22 |
Yu, H. K. and Na, J. H. (2014). Saddlepoint approximations for the risk measures of portfolios based on skew-normal risk factors. Journal of the Korean Data & Information Science Society, 25, 1171-1180.
DOI
|