Risk‐neutral pricing techniques and examples
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general version of the fundamental theorem of asset pricing
- A stochastic calculus model of continuous trading: Complete markets
- A survey and some generalizations of Bessel processes
- Absolute Continuity of Markov Processes and Generators
- Analysis and geometry of Markov diffusion operators
- Beta-gamma random variables and intertwining relations between certain Markov processes
- Efficient pricing of barrier options and credit default swaps in Lévy models with stochastic interest rate
- Evaluating callable and putable bonds: an eigenfunction expansion approach
- Exponential functionals of Brownian motion and related processes
- Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
- Fluctuations of Lévy processes with applications. Introductory lectures
- scientific article; zbMATH DE number 55167 (Why is no real title available?)
- scientific article; zbMATH DE number 192938 (Why is no real title available?)
- scientific article; zbMATH DE number 1561737 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3215021 (Why is no real title available?)
- Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
- Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
- Introductory lectures on fluctuations of Lévy processes with applications.
- Markov functions
- Martingales and stochastic integrals in the theory of continuous trading
- On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- On the notion(s) of duality for Markov processes
- Option pricing in a one-dimensional affine term structure model via spectral representations
- Polynomial diffusions and applications in finance
- Polynomial processes and their applications to mathematical finance
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
- Semi-stable Markov processes. I
- Spectral analysis of stable processes on the positive half-line
- Spectral decomposition of fractional operators and a reflected stable semigroup
- Spectral methods for identifying scalar diffusions
- Strong stationary times via a new form of duality
- Term structure models driven by general Lévy processes
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes
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