@MISC{McNeil2005a,
  author = {Mc{N}eil, {Alexander J.}},
  title = {Free {S}-{P}lus and {R} library designed to accompany the book Quantitative
	Risk Management: Concepts, Techniques and Tools},
  howpublished = {http://cran.r-project.org/web/packages/QRMlib/index.html},
  year = {2005},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@BOOK{Paolella2007,
  title = {Intermediate probability: A computational approach},
  publisher = {Wiley},
  year = {2007},
  author = {Paolella, Marc},
  address = {Chichester},
  isbn = {978--0--470--02637--3},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@BOOK{McNeil2005,
  title = {Quantitative risk management: Concepts, techniques and tools},
  publisher = {Princeton University Press},
  year = {2005},
  author = {Mc{N}eil, {Alexander J.} and Frey, R{\"u}diger and Embrechts, Paul},
  address = {Princeton},
  isbn = {978--0--691--12255--7},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Dempster1977,
  author = {Dempster, {A. P.} and Laird, {N. M.} and Rubin, {D. B.}},
  title = {Maximum likelihood from incomplete data via the {E}{M} algorithm},
  journal = {Journal of the Royal Statistical Society},
  year = {1977},
  volume = {39},
  pages = {1--38},
  number = {1},
  filepath = {X:\XI\Quant\Papers\Dempster1977.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Dempster1977.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}
@ARTICLE{Forsberg2002,
  author = {Lars Forsberg and Tim Bollerslev},
  title = {Bridging the gap between the distribution of realized
                  ({ECU}) volatility and arch modelling (of the
                  {EURO}): the {GARCH-NIG} model},
  year = {2002},
  volume = {17},
  pages = {535-548}
}

@ARTICLE{Davidson2004,
  author={Davidson, James},
  title={Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model},
  journal={Journal of Business \& Economic Statistics},
  year=2004,
  volume={22},
  number={1},
  pages={16-29},
  month={January}
}

@ARTICLE{Meng1993,
  author = {Meng, {X.--L.} and Rubin, {D.--B.}},
  title = {Maximum likelihood estimation via the {ECM} algorithm: A general
	framework},
  journal = {Biometrika},
  year = {1993},
  volume = {80},
  pages = {267--278},
  number = {2},
  filepath = {X:\XI\Quant\Papers\Meng1993.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Meng1993.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Barndorff-Nielsen1977,
  author = {{O. E.} Barndorff--Nielsen and O. Halgreen},
  title = {Infinite Divisibility of the Hyperbolic and Generalized Inverse Gaussian
	Distribution},
  journal = {Zeitschrift f\"ur {W}ahrscheinlichkeitstheorie und verwandte {G}ebiete},
  year = {1977},
  volume = {38},
  pages = {309--311},
  number = {4},
  filepath = {X:\XI\Quant\Papers\Halgreen1977.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Halgreen1977.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Eberlein1995,
  author = {E. Eberlein and U. Keller},
  title = {Hyperbolic distributions in finance.},
  journal = {Bernoulli 1},
  year = {1995},
  pages = {281--299},
  filepath = {X:\XI\Quant\Papers\Eberlein1995.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Eberlein1995.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@PHDTHESIS{Prause1999,
  author = {Prause, Karsten},
  title = {The Generalized Hyperbolic Model: Estimation Financial Derivatives
	and Risk Measures},
  school = {Universit{\"a}t {F}reiburg i. {B}r.},
  year = {1999},
  address = {Freiburg i. Br.},
  filepath = {X:\XI\Quant\Papers\Prause1999.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Prause1999.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Barndorff-Nielsen2001,
  author = {{Ole E.} Barndorff-Nielsen and Karsten Prause},
  title = {Apparent scaling},
  journal = {Finance and Stochastics},
  year = {2001},
  volume = {5},
  pages = {103-113},
  number = {1},
  filepath = {X:\XI\Quant\Papers\BarndorffNielsen2001.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\BarndorffNielsen2001.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Fergusson2006,
  author = {Fergusson, Kevin and Platen, Eckhard},
  title = {On the Distributional Characterization of Log-Returns of a World
	Stock Index},
  journal = {Applied Mathematical Finance},
  year = {2006},
  volume = {13},
  pages = {19--38},
  number = {1},
  month = {March},
  filepath = {X:\XI\Quant\Papers\Fergusson2006.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Fergusson2006.pdf:PDF},
  owner = {A123018},
  publisher = {Taylor and Francis},
  timestamp = {2009.03.24}
}

@ARTICLE{Eberlein1998,
  author = {E. Eberlein and U. Keller and K. Prause},
  title = {New insights into smile, mispricing and value at risk measures.},
  journal = {Journal of Business 71},
  year = {1998},
  pages = {371--405},
  filepath = {X:\XI\Quant\Papers\Eberlein1998.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Eberlein1998.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Breymann2003,
  author = {Wolfgang Breymann and Alexandra Dias and Paul Embrechts},
  title = {{Dependence Structures for Multivariate High--Frequency Data in Finance}},
  journal = {Quantitative Finance},
  year = {2003},
  volume = {3},
  pages = {1--14},
  number = {1},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@BOOK{Chen2005,
  title = {Nonparametric Risk Management with Generalized Hyperbolic Distributions},
  publisher = {{W}{I}{A}{S}},
  year = {2005},
  author = {Chen, Ying and H{\"a}rdle, Wolfgang and Jeong, {Seok--Oh}},
  volume = {1063},
  series = {Preprint / {W}eierstra{\ss}--{I}nstitut f{\"u}r Angewandte {A}nalysis
	und {S}tochastik},
  address = {Berlin},
  filepath = {X:\XI\Quant\Papers\Chen2005.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Chen2005.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Kassberger2006,
  author = {Kassberger, Stefan and Kiesel, R{\"u}diger},
  title = {A fully parametric approach to return modelling and risk management
	of hedge funds},
  journal = {Financial markets and portfolio management},
  year = {2006},
  volume = {20},
  pages = {472--491},
  number = {4},
  filepath = {X:\XI\Quant\Papers\Kassberger2007.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Kassberger2007.pdf:PDF},
  keywords = {Hedgefonds / Risikomanagement},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Barndorff-Nielsen1997,
  author = {{O. E.} Barndorff--Nielsen},
  title = {Normal inverse {G}aussian distributions and stochastic volatility
	modelling.},
  journal = {Scandinavian Journal of Statistics},
  year = {1997},
  volume = {24},
  pages = {1--13},
  number = {1},
  filepath = {X:\XI\Quant\Papers\BarndorffNielsen1997.pfd},
  file = {:X\:\\XI\\Quant\\Papers\\BarndorffNielsen1997.pfd:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Barndorff-Nielsen1997a,
  author = {{O. E.} Barndorff--Nielsen},
  title = {Processes of normal inverse Gaussian type.},
  journal = {Finance and Stochastics},
  year = {1997},
  volume = {2},
  pages = {41--68},
  number = {1},
  filepath = {X:\XI\Quant\Papers\BarndorffNielsen1997b.pfd},
  file = {:X\:\\XI\\Quant\\Papers\\BarndorffNielsen1997b.pfd:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Bibby1997,
  author = {B. M. Bibby and M. S\o rensen},
  title = {A hyperbolic diffusion model for stock prices.},
  journal = {Finance \& Stochastics 2},
  year = {1997},
  pages = {25--41},
  filepath = {X:\XI\Quant\Papers\Bibby1997.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Bibby1997.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Madan1998,
  author = {{Dilip B.} Madan and Peter Carr and {Eric C}. Chang},
  title = {The variance gamma process and option pricing},
  journal = {European Finance Review},
  year = {1998},
  volume = {2},
  pages = {79--105},
  filepath = {X:\XI\Quant\Papers\Madan1998.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Madan1998.pdf:PDF},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@PHDTHESIS{Raible2000,
  author = {Raible, Sebastian},
  title = {L{\'e}vy processes in finance: Theory, numerics, and empirical facts},
  school = {Universit{\"a}t {F}reiburg i. {B}r.},
  year = {2000},
  edition = {[Elektronische Ressource]},
  file = {:X\:\\XI\\Quant\\Papers\\Raible2000.pdf:PDF},
  keywords = {Kreditmarkt;Preisbildung;L{\'e}vy--Prozess;Hochschulschrift},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@BOOK{Cont2003,
  title = {Financial Modelling with Jump Processes},
  publisher = {Chapman \& Hall/CRC Financial Mathematics Series},
  year = {2003},
  author = {Rama Cont and Peter Tankov},
  owner = {A123018},
  priority = {2},
  timestamp = {2009.03.24}
}

@ARTICLE{Kassberger2007,
  author = {Stefan Kassberger},
  title = {Efficient Portfolio Optimization in the Multivariate Generalized
	Hyperbolic Framework},
  journal = {SSRN eLibrary},
  year = {2007},
  filepath = {X:\XI\Quant\Papers\Kassberger2007.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\Kassberger2007.pdf:PDF},
  location = {http://ssrn.com/paper=1018241},
  owner = {A123018},
  publisher = {SSRN},
  timestamp = {2009.03.24}
}

@BOOK{Abramowitz1972,
  title = {Handbook of mathematical functions},
  publisher = {Dover},
  year = {1972},
  author = {Abramowitz, Milton and Stegun, {Irene A.}},
  series = {Dover books on mathematics},
  address = {New York, NY},
  edition = {9. Dover printing},
  isbn = {0486612724},
  owner = {A123018},
  timestamp = {2009.03.24}
}

@ARTICLE{Barndorff-Nielsen1977a,
  author = {{O. E.} Barndorff--Nielsen},
  title = {Exponentially Decreasing Distributions for the Logarithm of Particle
	Size},
  journal = {Proceedings of the Royal Society of London. Series A, Mathematical
	and Physical Sciences},
  year = {1977},
  volume = {353},
  pages = {401--419},
  number = {1674},
  abstract = {The family of continuous type distributions such that the logarithm
	of the probability (density) function is a hyperbola (or, in several
	dimensions, a hyperboloid) is introduced and investigated. It is,
	among other things, shown that a distribution of this kind is a mixture
	of normal distributions. As to applications, the paper focuses on
	the mass-size distribution of aeolian sand deposits, with particular
	reference to the findings of R. A. Bagnold. The distribution family
	seems, however, to be of some potential usefulness in other concrete
	contexts too.},
  filepath = {X:\XI\Quant\Papers\BarndorffNielsen1977.pdf},
  file = {:X\:\\XI\\Quant\\Papers\\BarndorffNielsen1977.pdf:PDF},
  owner = {A123018},
  publisher = {The Royal Society},
  timestamp = {2009.03.24}
}

