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A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.75-90
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.39-47