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Mathematical Methods for Financial Markets
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this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited

Cited by

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  • 2013Monte Carlo and Quasi-Monte Carlo Methods177 cited
  • 2020Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations146 cited
  • 2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
  • 2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process123 cited
  • 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model80 cited
  • 2013Utility maximization with a given pricing measure when the utility is not necessarily concave75 cited
  • 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security74 cited
  • 2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model67 cited
  • 2016OPTIMAL STOPPING UNDER PROBABILITY DISTORTION66 cited
  • 2016A general HJM framework for multiple yield curve modelling64 cited
  • 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model

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63 cited
  • 2018Asymptotic Behavior of the Fractional Heston Model63 cited
  • 2020Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS62 cited
  • 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
  • 2012Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases57 cited