308 citations · 316 across the 5 of their papers we have counts for
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q-fin.ST2009★ 308 cited
The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
William T. Shaw, Ian R. C. Buckley
Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering w…
q-fin.ST2008
A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback
William T. Shaw
The market events of 2007-2009 have reinvigorated the search for realistic return models that capture greater likelihoods of extreme movements. In this paper we model the medium-te…