| Publication | Date of Publication | Type |
|---|
Probability of no default for a microloan under uncertainty
Annals of Finance | 2024-12-23 | Paper |
Stopping times occurring simultaneously
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2024-10-10 | Paper |
Insider trading
| 2024-09-06 | Paper |
Order Book Queue Hawkes Markovian Modeling
SIAM Journal on Financial Mathematics | 2024-03-22 | Paper |
The Future of Probability
Lecture Notes in Mathematics | 2023-12-03 | Paper |
Markov Process Jump Times and Their Cox Construction
| 2023-10-10 | Paper |
Going forward \& backward with Jin Ma
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Expansion of a filtration with a stochastic process: the information drift
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Optimal group size in microlending
Annals of Finance | 2023-04-27 | Paper |
Asset price bubbles: invariance theorems
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Strict local martingales and the Khasminskii test for explosions
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Continuous-Time Asset Pricing Theory
Quantitative Finance | 2022-05-27 | Paper |
Stopping Times Occurring Simultaneously
| 2021-11-17 | Paper |
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
| 2021-10-21 | Paper |
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
| 2020-10-28 | Paper |
Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Strict local martingales via filtration enlargement
International Journal of Theoretical and Applied Finance | 2020-03-26 | Paper |
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
Mathematical Finance | 2019-12-05 | Paper |
Options prices in incomplete markets
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
| 2017-09-13 | Paper |
The lifetime of a financial bubble
Mathematics and Financial Economics | 2017-01-31 | Paper |
Relative asset price bubbles
Annals of Finance | 2016-09-21 | Paper |
Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model
Mathematics and Financial Economics | 2016-03-08 | Paper |
Positive alphas and a generalized multiple-factor asset pricing model
Mathematics and Financial Economics | 2016-03-08 | Paper |
Hedging claims with feedback jumps in the price process
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Progressive filtration expansions via a process, with applications to insider trading
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
Liquidity suppliers and high frequency trading
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
The effect of trading futures on short sale constraints
Mathematical Finance | 2015-04-24 | Paper |
Strict local martingales with jumps
Stochastic Processes and their Applications | 2015-02-27 | Paper |
Signing trades and an evaluation of the Lee-Ready algorithm
Annals of Finance | 2014-11-12 | Paper |
A liquidity-based model for asset price bubbles
Quantitative Finance | 2014-01-24 | Paper |
A mathematical theory of financial bubbles
Lecture Notes in Mathematics | 2013-09-11 | Paper |
A short history of stochastic integration and mathematical finance: the early years, 1880--1970
| 2013-08-01 | Paper |
Linking progressive and initial filtration expansions
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
Discretely sampled variance and volatility swaps versus their continuous approximations
Finance and Stochastics | 2013-04-02 | Paper |
Positive alphas, abnormal performance, and illusory arbitrage
Mathematical Finance | 2013-02-28 | Paper |
A dysfunctional role of high frequency trading in electronic markets
International Journal of Theoretical and Applied Finance | 2012-06-25 | Paper |
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
How to detect an asset bubble
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Discretization of processes.
Stochastic Modelling and Applied Probability | 2011-10-20 | Paper |
Absolutely continuous compensators
International Journal of Theoretical and Applied Finance | 2011-06-20 | Paper |
Foreign currency bubbles
Review of Derivatives Research | 2011-05-27 | Paper |
On progressive filtration expansion with a process
| 2011-05-09 | Paper |
Risk-neutral compatibility with option prices
Finance and Stochastics | 2011-04-06 | Paper |
An analysis of the supply curve for liquidity risk through book data
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
Analysis of continuous strict local martingales via \(h\)-transforms
Stochastic Processes and their Applications | 2010-08-03 | Paper |
Asset price bubbles in incomplete markets
Mathematical Finance | 2010-04-22 | Paper |
Forward and futures prices with bubbles
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
No arbitrage without semimartingales
The Annals of Applied Probability | 2009-06-17 | Paper |
No Arbitrage and General Semimartingales
Institute of Mathematical Statistics Collections | 2009-05-22 | Paper |
Asset price bubbles in complete markets
| 2009-01-28 | Paper |
scientific article; zbMATH DE number 5251077 (Why is no real title available?)
| 2008-03-19 | Paper |
Information reduction via level crossings in a credit risk models
Finance and Stochastics | 2007-12-16 | Paper |
scientific article; zbMATH DE number 2243108 (Why is no real title available?)
| 2006-01-04 | Paper |
A new prize in honor of Kiyosi Itô.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Joseph Leo Doob, 1910--2004
Stochastic Processes and their Applications | 2005-08-05 | Paper |
The approximate Euler method for Lévy driven stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Liquidity risk and arbitrage pricing theory
Finance and Stochastics | 2005-05-20 | Paper |
A partial introduction to financial asset pricing theory.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Modeling credit risk with partial information.
The Annals of Applied Probability | 2004-09-15 | Paper |
An analysis of a least squares regression method for American option pricing
Finance and Stochastics | 2004-03-16 | Paper |
scientific article; zbMATH DE number 2006037 (Why is no real title available?)
| 2003-11-19 | Paper |
Numerical method for backward stochastic differential equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Explicit form and robustness of martingale representations.
The Annals of Probability | 2003-05-06 | Paper |
Probability essentials.
Universitext | 2003-02-13 | Paper |
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales
Stochastic Models | 2002-09-08 | Paper |
The Monte-Carlo method for filtering with discrete-time observations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-02-18 | Paper |
scientific article; zbMATH DE number 1639860 (Why is no real title available?)
| 2001-09-12 | Paper |
On Itô's formula for multidimensional Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2000-06-07 | Paper |
Asymptotic error distributions for the Euler method for stochastic differential equations
The Annals of Probability | 2000-05-25 | Paper |
Probability essentials
Universitext | 2000-01-20 | Paper |
ICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer ScienceICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer Science
ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik | 1999-11-08 | Paper |
Complete markets with discontinuous security price
Finance and Stochastics | 1999-09-14 | Paper |
Anticipating integrals for a class of martingales
Bernoulli | 1998-05-25 | Paper |
Skorohod integral of a product of two stochastic processes
Journal of Theoretical Probability | 1998-02-03 | Paper |
The Euler scheme for Lévy driven stochastic differential equations
The Annals of Probability | 1997-11-18 | Paper |
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
Mathematical Finance | 1997-08-31 | Paper |
scientific article; zbMATH DE number 933352 (Why is no real title available?)
| 1997-05-25 | Paper |
scientific article; zbMATH DE number 933357 (Why is no real title available?)
| 1997-05-25 | Paper |
Numerical methods for forward-backward stochastic differential equations
The Annals of Applied Probability | 1997-04-24 | Paper |
scientific article; zbMATH DE number 898384 (Why is no real title available?)
| 1997-01-05 | Paper |
Quadratic covariation and an extension of Itô's formula
Bernoulli | 1995-12-12 | Paper |
scientific article; zbMATH DE number 755590 (Why is no real title available?)
| 1995-07-27 | Paper |
scientific article; zbMATH DE number 679803 (Why is no real title available?)
| 1995-05-02 | Paper |
Stratonovich stochastic differential equations driven by general semimartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1995-04-04 | Paper |
scientific article; zbMATH DE number 721927 (Why is no real title available?)
| 1995-02-13 | Paper |
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-08-15 | Paper |
General change of variable formulas for semimartingales in one and finite dimensions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-07-24 | Paper |
A remark on the weak convergence of processes in the Skorohod topology
Journal of Theoretical Probability | 1993-10-03 | Paper |
scientific article; zbMATH DE number 45955 (Why is no real title available?)
| 1992-09-17 | Paper |
scientific article; zbMATH DE number 16922 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 19572 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 19293 (Why is no real title available?)
| 1992-06-26 | Paper |
Weak limit theorems for stochastic integrals and stochastic differential equations
The Annals of Probability | 1992-06-25 | Paper |
On semimartingale decompositions of convex functions of semimartingales
Illinois Journal of Mathematics | 1992-01-01 | Paper |
Stochastic Volterra equations with anticipating coefficients
The Annals of Probability | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4153596 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4096511 (Why is no real title available?)
| 1989-01-01 | Paper |
Time reversal on Lévy processes
The Annals of Probability | 1988-01-01 | Paper |
Reversing gaussian semimartingales without gauss†
Stochastics | 1987-01-01 | Paper |
A two-sided stochastic integral and its calculus
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
Stochastic integration without tears
Stochastics | 1986-01-01 | Paper |
Semimartingales and measure preserving flows
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1986-01-01 | Paper |
Volterra equations driven by semimartingales
The Annals of Probability | 1985-01-01 | Paper |
Approximations of solutions of stochastic differential equations driven by semimartingales
The Annals of Probability | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3812643 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3804609 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3757437 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3757436 (Why is no real title available?)
| 1982-01-01 | Paper |
Semimartingales and Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
Stochastic differential equations with jump reflection at the boundary
Stochastics | 1980-01-01 | Paper |
An extension of Kazamaki's results on BMO differentials
The Annals of Probability | 1980-01-01 | Paper |
A comparison of stochastic integrals
The Annals of Probability | 1979-01-01 | Paper |
Martingales with given absolute value
The Annals of Probability | 1979-01-01 | Paper |
? p stability of solutions of stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1978-01-01 | Paper |
? p stability of solutions of stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1978-01-01 | Paper |
Stability of the classification of stopping times
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
The Annals of Probability | 1977-01-01 | Paper |
Right-continuous solutions of systems of stochastic integral equations
Journal of Multivariate Analysis | 1977-01-01 | Paper |
Markov solutions of stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
