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Approximation of Some Gaussian Processes
4 references·2 citing·23 second hop
Approximation of Some Gaussian Processes (2000)Approximation of Some Gaussian ProcessesStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Approximating some Volterra type stochastic integrals with applications to parameter estimation (2003)Approximating some Volterra t…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Portfolio Optimization in Fractional and Rough Heston Models (2020)Portfolio Optimization in Fra…Integral representation of generalized grey Brownian motion (2019)Integral representation of ge…The Malliavin Calculus and Related Topics (1995)Long memory in continuous‐time stochastic volatility models (1998)The Malliavin Calculus and Related Topics (2006)Stochastic evolution equations with Volterra noise (2016)Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (2018)Lp-valued stochastic convolution integral driven by Volterra noise (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)Markowitz portfolio selection for multivariate affine and quadratic Volterra models (2020)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study (2000)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 2003Approximating some Volterra type stochastic integrals with applications to parameter estimation37 cited

Cited by

  • 2020Portfolio Optimization in Fractional and Rough Heston Models34 cited
  • 2019Integral representation of generalized grey Brownian motion21 cited

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