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ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS
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ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS (2010)ON INCOMPLETENESS OF BOND MARKETS WITH IN…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Partial Differential Equations with Levy Noise (2007)Stochastic Partial Differenti…Financial Derivatives in Theory and Practice (2004)Financial Derivatives in Theo…A characterization of hedging portfolios for interest rate contingent claims (2004)A characterization of hedging…Martingale problems for stochastic PDE’s (1999)Martingale problems for stoch…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Normalized stochastic integrals in topological vector spaces (1998)Normalized stochastic integra…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Towards a general theory of bond markets (1997)Towards a general theory of b…Bond Market Structure in the Presence of Marked Point Processes (1997)Bond Market Structure in the …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…A Characterization of Complete Security Markets On A Brownian Filtration1 (1991)A Characterization of Complet…Semimartingales: A course on stochastic processes (1986)Semimartingales: A course on …Semimartingales (1982)SemimartingalesThe Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Interest Rate Dynamics and Consistent Forward Rate Curves (1999)The Term Structure of Simple Forward Rates with Jump Risk (2003)Stochastic Integration and Differential Equations (2005)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Interest Rates and Information Geometry (2001)Chaos and coherence: a new framework for interest–rate modelling (2004)Derivatives (2004)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)On the Existence of Optimal Controls (1990)Path Dependent Options: The Case of Lookback Options (1991)A Stochastic Wave Equation in Two Space Dimension: Smoothness of the Law (1999)Existence of Lévy term structure models (2007)Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)Moderate deviation principles for stochastic differential equations with jumps (2016)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
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  • 2007Stochastic Partial Differential Equations with Levy Noise475 cited
  • 2004Financial Derivatives in Theory and Practice425 cited
  • 1997Bond Market Structure in the Presence of Marked Point Processes385 cited
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  • 1999Martingale problems for stochastic PDE’s86 cited
  • 1998Normalized stochastic integrals in topological vector spaces72 cited
  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited
  • 1991A Characterization of Complete Security Markets On A Brownian Filtration1

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