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Lévy random bridges and the modelling of financial information
9 references·5 citing·39 second hop
Lévy random bridges and the modelling of financial information (2010)Lévy random bridges and the modelling of …INFORMATION-BASED ASSET PRICING (2008)INFORMATION-BASED ASSET PRICI…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Making Markov martingales meet marginals: with explicit constructions (2002)Making Markov martingales mee…Conditioned stochastic differential equations: theory, examples and application to finance (2002)Conditioned stochastic differ…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Long-lived information and intraday patterns (1998)Long-lived information and in…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Markov consistency of Archimedean survival processes (2016)The Markov consistency of Arc…ALGORITHMIC TRADING WITH LEARNING (2016)ALGORITHMIC TRADING WITH LEAR…Large Deviations and Asymptotic Methods in Finance (2015)Large Deviations and Asymptot…Generalized Gaussian bridges (2014)Generalized Gaussian bridgesArchimedean survival processes (2012)Archimedean survival processesStochastic Partial Differential Equations (2007)Efficient estimation of integrated volatility functionals via multiscale jackknife (2018)Pathwise large deviations for the rough Bergomi model (2018)Precise asymptotics: Robust stochastic volatility models (2021)Continuous Martingales and Brownian Motion (1999)Hyperbolic Processes in Finance (2003)From local volatility to local Lévy models (2004)Advances in Mathematical Finance (2007)Mimicking an Itô process by a solution of a stochastic differential equation (2013)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Asymmetric Information and Options (1993)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Asset Pricing under Asymmetric Information (2001)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)Insider Trading With a Random Deadline (2010)Market Liquidity—Theory and Empirical Evidence (2013)Fast and slow informed trading (2019)Duality theory for optimal investments under model uncertainty (2005)Optimal Investments for Robust Utility Functionals in Complete Market Models (2005)The Malliavin Calculus and Related Topics (2006)Robust Preferences and Robust Portfolio Choice (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (1998)Dam rain and cumulative gain (2008)CONDITIONAL DENSITY MODELS FOR ASSET PRICING (2012)Trading algorithms with learning in latent alpha models (2018)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)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)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 1998Long-lived information and intraday patterns161 cited
  • 2002Making Markov martingales meet marginals: with explicit constructions112 cited
  • 2008INFORMATION-BASED ASSET PRICING95 cited
  • 2002Conditioned stochastic differential equations: theory, examples and application to finance91 cited

Cited by

  • 2015Large Deviations and Asymptotic Methods in Finance60 cited
  • 2016ALGORITHMIC TRADING WITH LEARNING41 cited
  • 2014Generalized Gaussian bridges35 cited
  • 2012Archimedean survival processes31 cited
  • 2016The Markov consistency of Archimedean survival processes25 cited

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