SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Chaotic and predictable representations for Lévy processes
2 references·16 citing·27 second hop
Chaotic and predictable representations for Lévy processes (2000)Chaotic and predictable representations f…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition (2009)Generalized reflected BSDEs d…Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes (2008)Stochastic PDIEs and backward…Canonical Lévy process and Malliavin calculus (2006)Canonical Lévy process and Ma…Malliavin Monte Carlo Greeks for jump diffusions (2005)Malliavin Monte Carlo Greeks …MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (2005)MALLIAVIN CALCULUS AND ANTICI…White Noise of Poisson Random Measures (2004)White Noise of Poisson Random…Martingale Representation of Functionals of Lévy Processes (2004)Martingale Representation of …Completion of a L�vy market by power-jump assets (2004)Completion of a L�vy market b…White noise analysis for Lévy processes (2003)White noise analysis for Lévy…ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES (2003)ORTHOGONAL DECOMPOSITIONS FOR…Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes (2003)Explicit Representation of th…The Meixner process : theory and applications in finance (2002)The Meixner process : theory …Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise (2002)Stochastic Partial Differenti…Deterministic implied volatility models (2002)Deterministic implied volatil…BSDE associated with Lévy processes and application to PDIE (2002)BSDE associated with Lévy pro…Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Backward Stochastic Different…The Malliavin Calculus and Related Topics (1995)Methods of Mathematical Finance (1998)The Malliavin Calculus and Related Topics (2006)Malliavin Greeks without Malliavin calculus (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)Lévy Processes and Stochastic Calculus (2004)Malliavin Calculus in Lévy spaces and Applications to Finance. (2008)On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (2010)Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability (2017)Stochastic Differential Equations (2003)Risk minimization in financial markets modeled by Itô-Lévy processes (2014)The Pricing of Options and Corporate Liabilities (1973)Adapted solution of a backward stochastic differential equation (1990)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Fast deterministic pricing of options on Lévy driven assets (2004)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Backward Stochastic Differential Equations in Finance (1997)Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Optimal portfolio for an insider in a market driven by Lévy processes§ (2006)Malliavin Calculus and Optimal Control of Stochastic Volterra Equations (2015)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited

Cited by

  • 2001Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance169 cited
  • 2003White noise analysis for Lévy processes107 cited
  • 2003Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes87 cited
  • 2005Malliavin Monte Carlo Greeks for jump diffusions86 cited
  • 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES77 cited
  • 2006Canonical Lévy process and Malliavin calculus76 cited
  • 2004Martingale Representation of Functionals of Lévy Processes62 cited
  • 2002BSDE associated with Lévy processes and application to PDIE59 cited
  • 2002Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise57 cited
  • 2003ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES49 cited
  • 2008Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes45 cited
  • 2004Completion of a L�vy market by power-jump assets44 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004
White Noise of Poisson Random Measures
44 cited
  • 2002The Meixner process : theory and applications in finance42 cited
  • 2002Deterministic implied volatility models40 cited
  • 2009Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition39 cited