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Prices in Financial Markets.
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Prices in Financial Markets. (1992)Prices in Financial Markets.Numerical approximation of Backward Stochastic Differential Equations with Jumps (2014)Numerical approximation of Ba…A SHOT NOISE MODEL FOR FINANCIAL ASSETS (2008)A SHOT NOISE MODEL FOR FINANC…The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees (2006)The effect of management disc…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A General Version of the Fund…Term-Structure Models: a Review (2003)Term-Structure Models: a Revi…VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY (2001)VOLATILITY SMILE CONSISTENT O…Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model (2000)Simple Entropic Derivation of…Market Value Of Insurance Liabilities (2000)Market Value Of Insurance Lia…A Simple Non-Parametric Approach to Bond Futures Option Pricing (1999)A Simple Non-Parametric Appro…072103 (E50, M20) Option pricing by Esscher transforms (1995)072103 (E50, M20) Option pric…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Adapted solution of a backward stochastic differential equation (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Convergence of BS Δ Es driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver (2015)Asymptotic expansion for forward-backward SDEs with jumps (2018)Deep learning schemes for parabolic nonlocal integro-differential equations (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Shot-noise processes and the minimal martingale measure (2007)Equilibruim approach of asset pricing under Lévy process (2012)Catastrophe Insurance Modeled by Shot-Noise Processes (2014)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Empirical option pricing: a retrospection (2003)An Engine, Not a Camera (2006)Arbitrage-free market models for option prices: the multi-strike case (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Strategic Trading When Agents Forecast the Forecasts of Others (1996)Asset Pricing under Asymmetric Information (2001)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Conditional and dynamic convex risk measures (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Lectures on Stochastic Programming (2009)Martingales and arbitrage in multiperiod securities markets (1979)Hedging of contingent claims under incomplete information (1990)THE GARCH OPTION PRICING MODEL (1995)Learning with Information Capacity Constraints (2005)An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market (2006)Information Entropy and Measures of Market Risk (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)Hyperbolic Distributions in Finance (1995)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Arbitrage Theory in Continuous Time (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)General Quadratic Term Structures for Bond, Futures, and Forward Prices (2006)Backward Stochastic Differential Equations in Finance (1997)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)
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  • 2006A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1995072103 (E50, M20) Option pricing by Esscher transforms656 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2000Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model56 cited
  • 2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY55 cited
  • 2000Market Value Of Insurance Liabilities31 cited
  • 2014Numerical approximation of Backward Stochastic Differential Equations with Jumps24 cited
  • 2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS24 cited
  • 2003Term-Structure Models: a Review21 cited
  • 2006The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees20 cited
  • 1999A Simple Non-Parametric Approach to Bond Futures Option Pricing20 cited

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