most citedThe alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map

308 citations · 308 across the 1 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…