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On a stochastic heat equation with first order fractional noises and applications to finance
16 references·0 citing·33 second hop
On a stochastic heat equation with first order fractional noises and applications to finance (2012)On a stochastic heat equation with first …Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)Term Structure Models Driven …Existence of Lévy term structure models (2007)Existence of Lévy term struct…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE (2004)REGULARIZATION OF QUASILINEAR…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Extending the Martingale Meas…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Characterizing Gaussian Models of the Term Structure of Interest Rates (1997)Characterizing Gaussian Model…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994)THE TERM STRUCTURE OF INTERES…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Rational Option Pricing (1973)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Option pricing and Esscher transform under regime switching (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Continuous Martingales and Brownian Motion (1991)Rough evolution equations (2006)Stochastic differential equations and applications (2008)Rough evolution equations (2010)Stochastic integrals for spde’s: A comparison (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Alternative models for stock price dynamics (2003)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)
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References

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  • 2007Existence of Lévy term structure models

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77 cited
  • 2004REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE51 cited
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