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Lie Theory: Applications to problems in Mathematical Finance and Economics
13 references·1 citing·40 second hop
Lie Theory: Applications to problems in Mathematical Finance and Economics (2008)Lie Theory: Applications to problems in M…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…A Geometric View of Interest Rate Theory (2010)A Geometric View of Interest …An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation (2008)An optimal system and group-i…Lie-algebraic approach for pricing moving barrier options with time-dependent parameters (2005)Lie-algebraic approach for pr…Paris-Princeton Lectures on Mathematical Finance 2003 (2004)Paris-Princeton Lectures on M…On the Geometry of Interest Rate Models (2004)On the Geometry of Interest R…On the construction of finite dimensional realizations for nonlinear forward rate models (2002)On the construction of finite…Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach (2001)Valuation of financial deriva…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Asset pricing with a forward–backward stochastic differential utility (2001)Asset pricing with a forward–…CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS (2000)CONSTANT ELASTICITY OF VARIAN…Multiproduct Nonlinear Pricing (1996)Multiproduct Nonlinear PricingStochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…Invariant approach to optimal investment–consumption problem: the constant elasticity of variance (CEV) model (2016)Invariant approach to optimal…A Theory of the Term Structure of Interest Rates (1985)Pricing Interest-Rate-Derivative Securities (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields (2003)Forecasting the Term Structure of Government Bond Yields (2003)Arbitrage Theory in Continuous Time (2004)An equilibrium characterization of the term structure (1977)Parsimonious Modeling of Yield Curves (1987)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)On a mean field game approach modeling congestion and aversion in pedestrian crowds (2011)Mean Field Games Models—A Brief Survey (2013)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Benchmark Approach to Quantitative Finance (2006)SELF EXCITING THRESHOLD INTEREST RATES MODELS (2006)Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)An Exploration in the Theory of Optimum Income Taxation (1971)Commodity Bundling and the Burden of Monopoly (1976)Monopoly and product quality (1978)Ironing, Sweeping, and Multidimensional Screening (1998)Bundling Information Goods: Pricing, Profits, and Efficiency (1999)The Theory of Incentives: The Principal-Agent Model (2001)The equity premium: A puzzle (1985)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Dynamic Asset Pricing Theory. (1993)Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps (2012)Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation (2014)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers (2003)Pricing vulnerable European options with stochastic default barriers (2007)An alternative approach on the existence of affine realizations for HJM term structure models (2010)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Stochastic calculus with anticipating integrands (1988)Functional Itô calculus and stochastic integral representation of martingales (2013)Control Techniques for Complex Networks (2007)Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises (2020)
this work references cited by second hop

References

  • 1996Multiproduct Nonlinear Pricing524 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 2002On the construction of finite dimensional realizations for nonlinear forward rate models96 cited
  • 2010A Geometric View of Interest Rate Theory75 cited
  • 2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS63 cited
  • 2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach52 cited
  • 2004On the Geometry of Interest Rate Models31 cited
  • 2001Asset pricing with a forward–backward stochastic differential utility30 cited
  • 2008An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation26 cited
  • 2005Lie-algebraic approach for pricing moving barrier options with time-dependent parameters22 cited
  • 2004Paris-Princeton Lectures on Mathematical Finance 200320 cited

Cited by

  • 2016Invariant approach to optimal investment–consumption problem: the constant elasticity of variance (CEV) model15 cited

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