We suggest new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolute errors of order 10 can be achieved in 0.005-0.1 msec (Matlab implementation), even when the index of the...

Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around the line of integration in the complex plane.The Fourier transform techniques reduces calculation of probability distributions and option...

This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the...