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Stochastic Integration and Differential Equations : A New Approach · Study

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ArticleStochastic Integration and Differential Equations : A New Approach

Philip E. Protter2014

Article2014

Stochastic Integration and Differential Equations : A New Approach

Philip E. Protter

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Stochastic processes and financial applications Probability and Statistical Research Nonlinear Differential Equations Analysis

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1995Option pricing by Esscher transforms.2002Estimating quadratic variation using realized variance 2007Common Failings: How Corporate Defaults Are Correlated 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations 2010Parametric and Nonparametric Volatility Measurement 2000The Distribution of Stock Return Volatility 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model 2003First passage times of a jump diffusion process

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Year2014

Typearticle

Published2014-03-12

Languageen

Citations686

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ShelfStochastic processes and financial applications

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openalex_workW1568563398

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