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
- Correlation function of a random scalar field evolving with a rapidly fluctuating Gaussian process
- Regular and anomalous diffusion. I: Foundations
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
- Asymptotic analysis of the Heston model and its statistical and financial applications
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
- Pricing and hedging of temperature derivatives in a model with memory
- Generalized Cox model for default times
- On SDEs for Bessel processes in low dimension and path-dependent extensions
- Short communication: Chances for the honest in honest versus insider trading
- Enlarged filtrations and indistinguishable processes
- Interest rate modeling with generalized Langevin equations
- An expected exponential utility maximization problem for bitcoin miners
- Which Urbanik class \(L_k\), do the hyperbolic and the generalized logistic characteristic functions belong to?
- Some Remarks on Enlargement of Filtration and Finance
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Information-based approach: pricing of a credit risky asset in the presence of default time
- Computations and global properties for traces of Bessel's Dirichlet form
- VIX MODELING FOR A MARKET INSIDER
- Distributional properties of continuous time processes: from CIR to bates
- Sandwiched filtrations
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