Oil price dynamics (2002-2006)

[1]  Paulo Picchetti,et al.  Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis , 2006 .

[2]  P. Collin‐Dufresne,et al.  Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates , 2005 .

[3]  R. Pindyck.  VOLATILITY AND COMMODITY PRICE DYNAMICS , 2004 .

[4]  M. Yor,et al.  Stochastic Volatility for Lévy Processes , 2003 .

[5]  Alan L. Lewis.  A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes , 2001 .

[6]  Eduardo S. Schwartz,et al.  Short-Term Variations and Long-Term Dynamics in Commodity Prices , 2000 .

[7]  Luis M. Viceira,et al.  Spectral GMM Estimation of Continuous-Time Processes , 1999 .

[8]  R. Sundaram,et al.  Of Smiles and Smirks: A Term Structure Perspective , 1998, Journal of Financial and Quantitative Analysis.

[9]  Eduardo S. Schwartz.  The stochastic behavior of commodity prices: Implications for valuation and hedging , 1997 .

[10]  Gurdip Bakshi,et al.  Empirical Performance of Alternative Option Pricing Models , 1997 .

[11]  Lea Fleischer,et al.  Regularization of Inverse Problems , 1996 .

[12]  David S. Bates.  Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options , 1993 .

[13]  S. Heston.  A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[14]  D. Madan,et al.  1option Pricing with V. G. Martingale Components , 1991 .

[15]  Eduardo S. Schwartz,et al.  Stochastic Convenience Yield and the Pricing of Oil Contingent Claims , 1990 .

[16]  A. Feuerverger,et al.  An efficiency result for the empirical characteristic function in stationary time-series models , 1990 .

[17]  Philippe Jorion.  On Jump Processes in the Foreign Exchange and Stock Markets , 1988 .

[18]  E. Seneta,et al.  Simulation of estimates using the empirical characteristic function , 1987 .

[19]  W. Torous,et al.  On Jumps in Common Stock Prices and Their Impact on Call Option Pricing , 1985 .

[20]  James D. Hamilton.  Oil and the Macroeconomy since World War II , 1983, Journal of Political Economy.

[21]  W. Torous,et al.  A Simplified Jump Process for Common Stock Returns , 1983, Journal of Financial and Quantitative Analysis.

[22]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[23]  A. Feuerverger,et al.  On the Efficiency of Empirical Characteristic Function Procedures , 1981 .

[24]  A. Feuerverger,et al.  On Some Fourier Methods for Inference , 1981 .

[25]  S. Beckers.  A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns , 1981, Journal of Financial and Quantitative Analysis.

[26]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[27]  B. Mandelbrot.  New Methods in Statistical Economics , 1963, Journal of Political Economy.

[28]  E. Parzen.  On Estimation of a Probability Density Function and Mode , 1962 .

[29]  Maurice G. Kendall,et al.  The advanced theory of statistics , 1945 .

[30]  M. Yor,et al.  The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .

[31]  Aie.  World Energy Outlook 2005 , 2005 .

[32]  R. Cont,et al.  Non-parametric calibration of jump–diffusion option pricing models , 2004 .

[33]  P. Carr,et al.  Time-Changed Levy Processes and Option Pricing ⁄ , 2002 .

[34]  P. Carr,et al.  Option valuation using the fast Fourier transform , 1999 .

[35]  K. Prause.  The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures , 1999 .

[36]  P. Carr,et al.  The Variance Gamma Process and Option Pricing , 1998 .

[37]  A. Feuerverger,et al.  The Empirical Characteristic Function and Its Applications , 1977 .

[38]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[39]  P. Clark.  A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .

[40]  S. James Press,et al.  A Compound Events Model for Security Prices , 1967 .

[41]  E. Fama.  The Behavior of Stock-Market Prices , 1965 .