97 citations · 514 across the 36 of their papers we have counts for
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q-fin.CP2013★ 3 cited
Exact simulation pricing with Gamma processes and their extensions
Lancelot F. James, Dohyun Kim, Zhiyuan Zhang
Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analy…
math.PR2013★ 4 cited
Stick-breaking PG(α,ζ)-Generalized Gamma Processes
Lancelot F. James
This work centers around results related to Proposition 21 of Pitman and Yor's (1997) paper on the two parameter Poisson Dirichlet distribution indexed by (α,θ) for 0<α<1, also α=0…