Mathematical methods for financial markets.
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Publication:819974
DOI10.1007/978-1-84628-737-4zbMATH Open1205.91003OpenAlexW4301088890MaRDI QIDQ819974FDOQ819974
Authors: Marc Yor, Marc Chesney, Monique Jeanblanc 
Publication date: 4 April 2006
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-84628-737-4
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Cited In (only showing first 100 items - show all)
- The dynamic spread of the forward CDS with general random loss
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- CDS pricing with fractional Hawkes processes
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- CDS calibration under an extended JDCEV model
- Risk management of time varying floors for dynamic portfolio insurance
- On optimal terminal wealth problems with random trading times and drawdown constraints
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Information-based model with noisy anticipation and its application in finance
- Pricing foreign exchange options under intervention by absorption modeling
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- Exact simulation of the 3/2 model
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- On the implied market price of risk under the stochastic numéraire
- Dynamic hedging of longevity risk: the effect of trading frequency
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Optimal control for a linear quadratic problem with a stochastic time scale
- Valuation of American strangles through an optimized lower-upper bound approach
- Social discounting and the long rate of interest
- Asymptotic behavior of the fractional Heston model
- An optimal extraction problem with price impact
- An optimal callback policy for general arrival processes: a pathwise analysis
- On small-noise equations with degenerate limiting system arising from volatility models
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Sensitivity analysis of long-term cash flows
- Arbitrage and utility maximization in market models with an insider
- Optimal investment in markets with over and under-reaction to information
- Optimal market making under partial information with general intensities
- Multi-currency credit default swaps
- A backward Monte Carlo approach to exotic option pricing
- Controlling the occupation time of an exponential martingale
- Robust consumption portfolio optimization with stochastic differential utility
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal dividend payout under stochastic discounting
- Ambiguity in dynamic contracts
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Optimal entry to an irreversible investment plan with non convex costs
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Strong approximation of Bessel processes
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Defaultable Bond markets with jumps
- Thin times and random times' decomposition
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Magnitude and speed of consecutive market crashes in a diffusion model
- An optimal dividend problem with capital injections over a finite horizon
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- On distributions of exponential functionals of the processes with independent increments
- Uncertainty and inside information
- A new fractal dimension for curves based on fractal structures
- The \(\alpha\)-hypergeometric stochastic volatility model
- Market Models with Optimal Arbitrage
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- A general HJM framework for multiple yield curve modelling
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
- Simulation of the CEV process and the local martingale property
- On arbitrages arising with honest times
- Exact simulation of the first-passage time of diffusions
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Brownian bridges on random intervals
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Random times and multiplicative systems
- Martingale methods in financial modelling.
- Bayesian numerical methods for nonlinear partial differential equations
- Drift operator in a viable expansion of information flow
- The law of large numbers for self-exciting correlated defaults
- On the finite horizon optimal switching problem with random lag
- Option pricing under jump-diffusion processes with regime switching
- Asymptotic arbitrage in the Heston model
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Title not available (Why is that?)
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- A remark on credit risk models and copula
- Power law statistics in the velocity fluctuations of Brownian particle in inhomogeneous media and driven by colored noise
- A jump to default extended CEV model: an application of Bessel processes
- A family of density expansions for Lévy-type processes
- On the control of the difference between two Brownian motions: a dynamic copula approach
- On the control of the difference between two Brownian motions: an application to energy markets modeling
- Stochastic mortality models: an infinite-dimensional approach
- Financial Modelling with Jump Processes
- A new topological indicator for chaos in mechanical systems
- Analytical expansions for parabolic equations
- The impact of quantitative easing on the US term structure of interest rates
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