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Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
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Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions (2013)Stochastic integration with respect to mu…White noise-based stochastic calculus with respect to multifractional Brownian motion (2013)White noise-based stochastic …MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)MULTIFRACTIONAL STOCHASTIC VO…Local time and Tanaka formula for a Volterra-type multifractional Gaussian process (2010)Local time and Tanaka formula…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…How rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)An introduction to white–nois…An S-transform approach to integration with respect to a fractional Brownian motion (2003)An S-transform approach to in…An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)An Itô formula for generalize…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Fractional Brownian Motions, Fractional Noises and Applications (1968)Arbitrage with Fractional Brownian Motion (1997)Fractals and Scaling in Finance (1997)An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)Lévy driven moving averages and semimartingales (2009)Multiple Wiener Integral (1951)Differential equations driven by fractional Brownian motion (2002)The Malliavin Calculus and Related Topics (1995)Explicit solutions of a class of linear fractional BSDEs (2004)Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (2006)Fractional Processes as Models in Stochastic Finance (2011)Integration questions related to fractional Brownian motion (2000)Theory and applications of long-range dependence (2003)Cross-correlation of long-range correlated series (2009)Integral representations and properties of operator fractional Brownian motions (2011)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)A note on the use of fractional Brownian motion for financial modeling (2012)m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index (2004)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1998Integration with respect to fractal functions and stochastic calculus. I589 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2003An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter132 cited
  • 2004An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion104 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited
  • 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS84 cited
  • 2003An S-transform approach to integration with respect to a fractional Brownian motion53 cited
  • 2010Local time and Tanaka formula for a Volterra-type multifractional Gaussian process29 cited
  • 2013White noise-based stochastic calculus with respect to multifractional Brownian motion22 cited

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