Simplified stochastic calculus with applications in economics and finance (Q2030297): Difference between revisions

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+.03651
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+Robust consumption and portfolio policies when asset prices can jump
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+Lévy Processes and Stochastic Calculus
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+Admissible Strategies in Semimartingale Portfolio Selection
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+Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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+Affine processes and applications in finance
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+Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques
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+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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+Financial models with defaultable numéraires
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+The minimal entropy martingale measures for geometric Lévy processes
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+Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
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+Variance-optimal hedging for processes with stationary independent increments
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+On a Formula Concerning Stochastic Differentials
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+Minimal \(f^q\)-Martingale measures for exponential Lévy processes
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+Optimal portfolios for exponential Lévy processes.
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+Convergence of local supermartingales
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+Option pricing when underlying stock returns are discontinuous
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+Applied stochastic control of jump diffusions
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+Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
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+Pricing Asian options in a semimartingale model
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