The following pages link to Josep Vives (Q274842):
Displaying 28 items.
- A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
- Anticipating linear stochastic differential equations driven by a Lévy process (Q456247) (← links)
- Pseudo linear pricing rule for utility indifference valuation (Q457184) (← links)
- Canonical Lévy process and Malliavin calculus (Q867845) (← links)
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility (Q1009405) (← links)
- (Q1202911) (redirect page) (← links)
- Smoothness of Brownian local times and related functionals (Q1202912) (← links)
- On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space (Q1580330) (← links)
- Chaotic Kabanov formula for the Azéma martingales (Q1586572) (← links)
- Option price decomposition in spot-dependent volatility models and some applications (Q1794087) (← links)
- On Lévy processes, Malliavin calculus and market models with jumps (Q1849791) (← links)
- Chaotic expansion and smoothness of some functionals of the fractional Brownian motion (Q1890282) (← links)
- Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization (Q1890720) (← links)
- Topological features of multivariate distributions: dependency on the covariance matrix (Q2246988) (← links)
- Dyson type formula for pure jump Lévy processes with some applications to finance (Q2289812) (← links)
- Chaos expansions and local times (Q2366853) (← links)
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
- A Stroock formula for a certain class of Lévy processes and applications to finance (Q2498178) (← links)
- A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- A pathwise approach to backward and forward stochastic differential equations on the poisson space<sup>*</sup> (Q2758171) (← links)
- Local Malliavin calculus for Lévy processes and applications (Q2812011) (← links)
- Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
- A Malliavin–Skorohod calculus in<i>L</i><sup>0</sup>and<i>L</i><sup>1</sup>for additive and Volterra-type processes (Q2974859) (← links)
- Anticipating stratonovich integral with respect to the Azema's martingales (Q3146481) (← links)
- The indefinite Skorohod integral as integrator on the Poisson space (Q4786226) (← links)
- Approximate option pricing under a two-factor Heston-Kou stochastic volatility model (Q6149566) (← links)
- Pricing cumulative loss derivatives under additive models via Malliavin calculus (Q6194623) (← links)
