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Stochastic Differential Equations
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Stochastic Differential Equations (2014)Stochastic Differential EquationsBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesTheory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On stochastic differential equations (1951)On stochastic differential eq…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Partial Differential Equations (2010)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1951On stochastic differential equations832 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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