Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Minimal Financial Market Model

13 references·6 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2007Brownian Motion and Stochastic Calculus7,421 cited
2005Stochastic Integration and Differential Equations4,594 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1993Dynamic Asset Pricing Theory.2,891 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
1988Brownian Motion and Stochastic Calculus1,544 cited
1990Stochastic Integration and Differential Equations1,195 cited
19965 Stochastic volatility1,189 cited
1998Methods of Mathematical Finance888 cited
1999A risky asset model with strong dependence through fractal activity time85 cited
1997Subordinated Market Index Models: A Comparison67 cited

Cited by

2004Diversified Portfolios with Jumps in a Benchmark Framework42 cited
2012On the History of the Growth-Optimal Portfolio35 cited

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

2004MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX33 cited

2014Pricing currency derivatives under the benchmark approach30 cited

2003A Discrete Time Benchmark Approach for Insurance and Finance26 cited

2007Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices26 cited