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On stochastic integration for volatility modulated Lévy-driven Volterra processes · Study

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ArticleOn stochastic integration for volatility modulated Lévy-driven Volterra processes

Ole Eiler Barndorff-Nielsen2013

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Articlebronze2013

On stochastic integration for volatility modulated Lévy-driven Volterra processes

Ole Eiler Barndorff-Nielsen · Fred Espen Benth · Almut E. D. Veraart

25 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 2003Limit Theorems for Stochastic Processes 2006The Malliavin Calculus and Related Topics 2008Stochastic Calculus for Fractional Brownian Motion and Applications 2001Stochastic Calculus with Respect to Gaussian Processes 2008Malliavin Calculus for Lévy Processes with Applications to Finance 2003Stochastic integration with respect to fractional brownian motion 2002Dynamical pricing of weather derivatives

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Year2013

Typearticle

Published2013-09-30

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.09.007

openalex_workW2005253016

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