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)
- 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
- Stochastic areas of diffusions and applications
- Pathwise no-arbitrage in a class of delta hedging strategies
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- A reading guide for last passage times with financial applications in view
- Progressive enlargements of filtrations with pseudo-honest times
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- On matching diffusions, Laplace transforms and partial differential equations
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Mean-variance portfolio selection under a constant elasticity of variance model
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Prices and asymptotics for discrete variance swaps
- Drawdowns and the speed of market crash
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Discrete time stochastic multi-player competitive games with affine payoffs
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Optimal stopping with information constraint
- Conditional Markov chains: properties, construction and structured dependence
- Lévy-Ito models in finance
- Variance swaps on defaultable assets and market implied time-changes
- Modeling mortality and pricing life annuities with Lévy processes
- Local volatility of volatility for the VIX market
- Optimal portfolio and consumption selection with default risk
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- 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
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