A PDE approach to jump-diffusions (Q2994851): Difference between revisions

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+Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
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+Brownian-time processes: The PDE connection and the half-derivative generator
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+The Pricing of Options and Corporate Liabilities
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+Expensive martingales
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+Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
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+Local martingales, bubbles and option prices
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+THE RANGE OF TRADED OPTION PRICES
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+A note on option pricing for the constant elasticity of variance model
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+Quelques applications de la formule de changement de variables pour les semimartingales
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+The parabolic differential equations and the associated semigroups of transformation
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+On the Derivatives of Solutions of Linear, Second Order, Ordinary Differential Equations
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+The cumulant process and Esscher's change of measure
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+Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
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+Sur l'int�grabilit� uniforme des martingales exponentielles
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+DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
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+Diffusion processes associated with L�vy generators
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+Diffusion processes with continuous coefficients, I
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+Diffusion processes with continuous coefficients, II
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