The stable distribution, in its many parametrizations, is central to many stochastic processes. Many random variables that occur in the study of Lévy processes are related to it. Good progress has been made recently for simulating various quantities related to the stable law. In this note, we...

In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a...