Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations

Business, Economics, Finance +17

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations

Business, Economics, Finance +17

Brownian Motion and Stochastic Calculus.

Richard L. Dykstra, Ioannis Karatzas, Steven E. Schreve · Journal of the American Statistical Association · 1989 · 969 citations

Engineering, Mathematics, Probability Theory +13

Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process

Ismo T. Koponen · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1995 · 634 citations

Engineering, Mathematics, Probability Theory +12