Short-term risk management using stochastic Taylor expansions under Lévy models
From MaRDI portal
Publication:1413347
DOI10.1016/S0167-6687(03)00152-5zbMath1028.60084MaRDI QIDQ1413347
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- White noise of Poisson random measures
- Higher-order implicit strong numerical schemes for stochastic differential equations
- White noise analysis for Lévy processes.
- Processes of Meixner type
- Stochastic processes and orthogonal polynomials
- On Lévy processes, Malliavin calculus and market models with jumps
- Malliavin calculus for parabolic SPDEs with jumps.
- Chaotic and predictable representations for Lévy processes.
- Multiple Wiener integral
- Approximations of small jumps of Lévy processes with a view towards simulation
- Coherent Measures of Risk
- Stochastic integral representations, stochastic derivatives and minimal variance hedging
- Time Discrete Taylor Approximations for It?? Processes with Jump Component
- The multiple stochastic integral
- Lévy processes, polynomials and martingales
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
- Convergence of stochastic processes
- Stochastic differential equations. An introduction with applications.
- Support theorem for the solution of a white-noise-driven parabolic stochastic partial differential equation with temporal Poissonian jumps
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance