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Weak Convergence of Financial Markets
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Weak Convergence of Financial Markets (2003)Weak Convergence of Financial MarketsFrom discrete to continuous time evolutionary finance models (2010)From discrete to continuous t…Numerical methods for Lévy processes (2009)Numerical methods for Lévy pr…CONTINUITY OF UTILITY‐MAXIMIZATION WITH RESPECT TO PREFERENCES (2009)CONTINUITY OF UTILITY‐MAXIMIZ…A SHOT NOISE MODEL FOR FINANCIAL ASSETS (2008)A SHOT NOISE MODEL FOR FINANC…MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY (2007)MONITORING PROCEDURES TO DETE…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Monitoring change in persistence in linear time series (2010)Nonparametric Sequential Signal Change Detection Under Dependent Noise (2013)SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET (2021)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Risk aversion asymptotics for power utility maximization (2010)Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)Option pricing: A simplified approach (1979)Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011)Numerical solution of stochastic differential equations (2016)Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (2021)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Stochastic Calculus for Finance II: Continuous-Time Models (2004)From standard to evolutionary finance: a literature survey (2018)
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  • 2009Numerical methods for Lévy processes34 cited
  • 2009CONTINUITY OF UTILITY‐MAXIMIZATION WITH RESPECT TO PREFERENCES32 cited
  • 2010From discrete to continuous time evolutionary finance models27 cited
  • 2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS24 cited
  • 2007MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY22 cited

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