# Bibliography

The raw BibTeX source for all entries is available in [references.bib](references.bib).

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#### 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](https://drive.google.com/file/d/11TnGl2ER_-QzEu_h7ZtGGass2rF8_u1Y/view){target="_blank" rel="noopener"}, Journal of the Royal Statistical Society, 63(2)

#### carr_madan

P. Carr, D. Madan. (1999) [Option valuation using the fast Fourier transform](http://faculty.baruch.cuny.edu/lwu/890/CarrMadan99.pdf){target="_blank" rel="noopener"}, Journal of Computational Finance, 3:463-520

#### carr_wu

P. Carr, L. Wu. (2002) [Time-changed Lévy processes and option pricing](https://engineering.nyu.edu/sites/default/files/2019-03/Carr-time-changed-levy-processes-option-pricing.pdf){target="_blank" rel="noopener"}, Journal of Financial Economics, 7:113-141

#### cgmy

Carr P., Geman H., Madan D.B., Yor M. (2003) [Stochastic Volatility for Lévy processes](https://engineering.nyu.edu/sites/default/files/2019-03/Carr-stochastic-volatility-levy-processes.pdf){target="_blank" rel="noopener"}, Mathematical Finance, 13(3)

#### chourdakis

K. Chourdakis. (2004) [Option Pricing Using the Fractional FFT](https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=6bdf4696312d37427eda2740137650c09deacda7){target="_blank" rel="noopener"}, 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](https://mpra.ub.uni-muenchen.de/8914/4/MPRA_paper_8914.pdf){target="_blank" rel="noopener"}

#### dsp

Unknown. (2017) [Doubly Stochastic Poisson Processes with Affine Intensities](https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=sbe35&paper_id=179){target="_blank" rel="noopener"}, internet

#### ekf

Wang X., He X., Zhao Y., Zuo Z. (2017) [Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter](https://www.sciencedirect.com/science/article/pii/S2405896317324758){target="_blank" rel="noopener"}, internet

#### gamma-ou

P. Sabino, C. Petroni. (2021) [Gamma Related Ornstein-Uhlenbeck Processes and their Simulation](https://doi.org/10.1080/00949655.2020.1842408){target="_blank" rel="noopener"}, Journal of Statistical Computation and Simulation, 91(6)

#### heston-calibration

Milan Mrázek, Jan Pospíšil. (2017) [Calibration and simulation of Heston model](https://doi.org/10.1515/math-2017-0058){target="_blank" rel="noopener"}, Open Mathematics, 15(1):679-704

#### heston-simulation

Leif B.G. Andersen. (2008) [Efficient Simulation of the Heston Stochastic Volatility Model](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=946405){target="_blank" rel="noopener"}, Journal of Computational Finance, 11(3)

#### lee_option

R. W. Lee. (2004) [Option Pricing by Transform Methods: Extensions, Unification, and Error Control](https://www.math.uchicago.edu/~rl/dft.pdf){target="_blank" rel="noopener"}

#### lewis

A. L. Lewis. (2001) [A Simple Option Formula for General Jump-Diffusion and other Exponential Lévy Processes](https://drive.google.com/file/d/1JiYfyOU7lUKHrMqTRPbBCdasctwYDc4Z/view){target="_blank" rel="noopener"}

#### molnar

Peter Molnar. (2020) [Volatility modeling and forecasting: utilization of realized volatility, implied volatility and the highest and lowest price of the day](https://drive.google.com/file/d/1zCU1OZyrKQLpxaypPv9U5UPbReBDXcMf/view){target="_blank" rel="noopener"}, University of Economics in Prague

#### saez

G. K. G. Saez. (2014) [Fourier Transform Methods for Option Pricing: An Application to extended Heston-type Models](https://www.uv.es/bfc/TFM2014/008-014.pdf){target="_blank" rel="noopener"}, Universidad del Pais Vasco

#### ukf

Merwe. (2014) [The Unscented Kalman Filter for Nonlinear Estimation](https://groups.seas.harvard.edu/courses/cs281/papers/unscented.pdf){target="_blank" rel="noopener"}, internet
