---
---

@book{bertoin,
  title={Lévy Processes},
  author={Bertoin, J.},
  year={1996},
  publisher={Cambridge University Press},
}

@article{bns,
  title={Non-Gaussian OU based models and some of their uses in financial economics},
  author={Barndorff-Nielsen, O.E. & Shephard, N.},
  journal={Journal of the Royal Statistical Society},
  year={2001},
  volume={63},
  number={2},
  url={https://drive.google.com/file/d/11TnGl2ER_-QzEu_h7ZtGGass2rF8_u1Y/view},
}

@article{carr_madan,
  title={Option valuation using the fast Fourier transform},
  journal={Journal of Computational Finance},
  volume={3},
  pages={463-520},
  author={Carr, P. and Madan, D.},
  year={1999},
  url={http://faculty.baruch.cuny.edu/lwu/890/CarrMadan99.pdf},
}

@article{carr_wu,
  title={Time-changed Lévy processes and option pricing},
  author={Carr, P. and Wu, L.},
  year={2002},
  journal={Journal of Financial Economics},
  volume={7},
  pages={113-141},
  url={https://engineering.nyu.edu/sites/default/files/2019-03/Carr-time-changed-levy-processes-option-pricing.pdf},
}

@article{cgmy,
  title={Stochastic Volatility for Lévy processes},
  author={Carr P., Geman H., Madan D.B. and Yor M.},
  year={2003},
  journal={Mathematical Finance},
  volume={13},
  number={3},
  url={https://engineering.nyu.edu/sites/default/files/2019-03/Carr-stochastic-volatility-levy-processes.pdf},
}

@article{chourdakis,
  title={Option Pricing Using the Fractional FFT},
  author={Chourdakis, K.},
  journal={Journal of Computational Finance},
  year={2004},
  volume={8},
  pages={1-18},
  url={https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=6bdf4696312d37427eda2740137650c09deacda7},
}

@article{cos,
  title={A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions},
  author={Fang, F. and Oosterlee, K.},
  year={2008},
  url={https://mpra.ub.uni-muenchen.de/8914/4/MPRA_paper_8914.pdf},
}

@article{dsp,
  title={Doubly Stochastic Poisson Processes with Affine Intensities},
  author={Unknown},
  journal={internet},
  year={2017},
  url={https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=sbe35&paper_id=179},
}

@article{ekf,
  title={Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter},
  author={Wang X., He X., Zhao Y. & Zuo Z.},
  journal={internet},
  year={2017},
  url={https://www.sciencedirect.com/science/article/pii/S2405896317324758},
}

@article{gamma-ou,
  title={Gamma Related Ornstein-Uhlenbeck Processes and their Simulation},
  author={Sabino, P. & Petroni, C.},
  journal={Journal of Statistical Computation and Simulation},
  year={2021},
  volume={91},
  number={6},
  url={https://doi.org/10.1080/00949655.2020.1842408},
}

@article{heston-calibration,
  title={Calibration and simulation of Heston model},
  author={Milan Mrázek and Jan Pospíšil},
  journal={Open Mathematics},
  year={2017},
  volume={15},
  number={1},
  pages={679--704},
  doi={doi:10.1515/math-2017-0058},
  url={https://doi.org/10.1515/math-2017-0058},
}

@article{heston-simulation,
  title={Efficient Simulation of the Heston Stochastic Volatility Model},
  author={Andersen, Leif B.G.},
  journal={Journal of Computational Finance},
  year={2008},
  volume={11},
  number={3},
  url={https://papers.ssrn.com/sol3/papers.cfm?abstract_id=946405},
}

@article{lee_option,
  title={Option Pricing by Transform Methods: Extensions, Unification, and Error Control},
  author={Lee, R. W.},
  year={2004},
  url={https://www.math.uchicago.edu/~rl/dft.pdf},
}

@article{lewis,
  title={A Simple Option Formula for General Jump-Diffusion and other Exponential Lévy Processes},
  author={Lewis, A. L.},
  year={2001},
  url={https://drive.google.com/file/d/1JiYfyOU7lUKHrMqTRPbBCdasctwYDc4Z/view},
}

@mastersthesis{molnar,
  title={Volatility modeling and forecasting: utilization of realized volatility, implied volatility and the highest and lowest price of the day},
  author={Peter Molnar},
  school={University of Economics in Prague},
  year={2020},
  url={https://drive.google.com/file/d/1zCU1OZyrKQLpxaypPv9U5UPbReBDXcMf/view},
}

@mastersthesis{saez,
  title={Fourier Transform Methods for Option Pricing: An Application to extended Heston-type Models},
  author={Saez, G. K. G.},
  school={Universidad del Pais Vasco},
  year={2014},
  url={https://www.uv.es/bfc/TFM2014/008-014.pdf},
}

@article{ukf,
  title={The Unscented Kalman Filter for Nonlinear Estimation},
  author={Merwe},
  journal={internet},
  year={2014},
  url={https://groups.seas.harvard.edu/courses/cs281/papers/unscented.pdf},
}
