SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic Differential Equations and Applications
0 references·16 citing·50 second hopsampled
Stochastic Differential Equations and Applications (1976)Stochastic Differential Equations and App…Stochastic Differential Equations (2014)Stochastic Differential Equat…Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Multiscale Stochastic Volatil…Ergodic Control of Diffusion Processes (2011)Ergodic Control of Diffusion …A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)A QUANTIZATION TREE METHOD FO…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (2002)Telling from Discrete Data Wh…Regularization of differential equations by fractional noise (2002)Regularization of differentia…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Contingent Claims and Market …Augmented GARCH (p,q) process and its diffusion limit (1997)Augmented GARCH (p,q) process…A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)A stochastic particle method …Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)Inflation, Asset Prices, and …Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…A pricing method for options based on average asset values (1990)A pricing method for options …An Exact Bond Option Formula (1989)An Exact Bond Option FormulaA Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)A regime-switching Heston model for VIX and S&P 500 implied volatilities (2013)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)A sequential sampling strategy for extreme event statistics in nonlinear dynamical systems (2018)An Intertemporal Capital Asset Pricing Model (1973)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Modelling Nonlinear Economic Time Series (2010)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Theory of Rational Option Pricing (1973)A Quick Algorithm for Pricing European Average Options (1991)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Controlled Diffusion Processes (1980)The Analytic Valuation of American Options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Models of Performance and Control (2013)OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (2015)Investment under uncertainty with financial constraints (2019)Stochastic Differential Equations and Diffusion Processes (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Continuous Martingales and Brownian Motion (1999)Advances of the probability density evolution method for nonlinear stochastic systems (2011)Functional Itô calculus and stochastic integral representation of martingales (2013)A new approach for option pricing under stochastic volatility (2007)Robust Replication of Volatility Derivatives (2008)Affine fractional stochastic volatility models (2010)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 1989An Exact Bond Option Formula731 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 2014Stochastic Differential Equations574 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1997Augmented GARCH (p,q) process and its diffusion limit370 cited
  • 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
  • 2003On the optimal stopping problem for one-dimensional diffusions235 cited
  • 1997Contingent Claims and Market Completeness in a Stochastic Volatility Model225 cited
  • 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
  • 2002Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion197 cited
  • 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
  • 2011Ergodic Control of Diffusion Processes177 cited
  • 2002

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Regularization of differential equations by fractional noise
170 cited
  • 1996Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics170 cited