Pages that link to "Item:Q1849791"

The following pages link to On Lévy processes, Malliavin calculus and market models with jumps (Q1849791):

Displaying 38 items.

• Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
• Computation of the kernels of Lévy functionals and applications (Q351806) (← links)
• An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (Q425903) (← links)
• Coefficients of asymptotic expansions of SDE with jumps (Q607565) (← links)
• On solutions to backward stochastic partial differential equations for Lévy processes (Q719427) (← links)
• Canonical Lévy process and Malliavin calculus (Q867845) (← links)
• Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
• Some stability results of optimal investment in a simple Lévy market (Q939388) (← links)
• On filtration enlargements and purely discontinuous martingales (Q947156) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Stein's method and normal approximation of Poisson functionals (Q964773) (← links)
• The calculus of variations for processes with independent increments (Q1011026) (← links)
• A smooth approach to Malliavin calculus for Lévy processes (Q1028615) (← links)
• Short-term risk management using stochastic Taylor expansions under Lévy models (Q1413347) (← links)
• White noise analysis for Lévy processes. (Q1425153) (← links)
• Approximate controllability of second-order stochastic differential systems driven by a Lévy process (Q2020320) (← links)
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier (Q2168956) (← links)
• Malliavin calculus for subordinated Lévy process (Q2201376) (← links)
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach (Q2241128) (← links)
• Dyson type formula for pure jump Lévy processes with some applications to finance (Q2289812) (← links)
• Predictable representation for time inhomogeneous Lévy processes and BSDEs (Q2322283) (← links)
• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps (Q2410984) (← links)
• Integration by parts formula for locally smooth laws and applications to sensitivity computations (Q2467110) (← links)
• On comparison theorem and solutions of BSDEs for Lévy processess (Q2468797) (← links)
• A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948) (← links)
• BSDEs driven by Lévy process with enlarged filtration and applications in finance (Q2518951) (← links)
• Malliavin Monte Carlo Greeks for jump diffusions (Q2576959) (← links)
• Approximate controllability of stochastic differential systems driven by a Lévy process (Q2871800) (← links)
• Optimal portfolio, partial information and Malliavin calculus (Q3396071) (← links)
• Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach (Q3405552) (← links)
• The explicit chaotic representation of the powers of increments of Lévy processes (Q3585333) (← links)
• Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334) (← links)
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (Q4409037) (← links)
• Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
• Sensitivity Analysis for Time-Inhomogeneous Lévy Process: A Malliavin Calculus Approach and Numerics (Q4558889) (← links)
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (Q4585676) (← links)
• Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model (Q4689913) (← links)
• Martingale Representation of Functionals of Lévy Processes (Q4826122) (← links)