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On stochastic integration for volatility modulated Lévy-driven Volterra processes
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On stochastic integration for volatility modulated Lévy-driven Volterra processes (2013)On stochastic integration for volatility …Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (2013)Modelling energy spot prices …Brownian semistationary processes and volatility/intermittency (2009)Brownian semistationary proce…The fundamental theorem of asset pricing for continuous processes under small transaction costs (2008)The fundamental theorem of as…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…Consistent price systems and face-lifting pricing under transaction costs (2008)Consistent price systems and …The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Fractional Lévy processes with an application to long memory moving average processes (2006)Fractional Lévy processes wit…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Representations of continuous-time ARMA processes (2004)Representations of continuous…Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with r…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Dynamical pricing of weather derivatives (2002)Dynamical pricing of weather …Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Lévy-Driven Carma Processes (2001)Lévy-Driven Carma ProcessesVolterra Equations Driven by Semimartingales (1985)Volterra Equations Driven by …The Malliavin Calculus and Related Topics (1995)Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Affine fractional stochastic volatility models (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)Financial Modelling with Jump Processes (2003)Multivariate supOU processes (2010)Recent results in the theory and applications of CARMA processes (2014)Asymptotics for Rough Stochastic Volatility Models (2017)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)Putting a Price on Temperature* (2007)The volatility of temperature and pricing of weather derivatives (2007)Introduction to Time Series and Forecasting (1996)Non-Gaussian OU based models and some of their uses in financial economics (2000)Introduction to Time Series and Forecasting (2002)Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)Stochastic Integration and Differential Equations : A New Approach (2014)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)A mean-field stochastic maximum principle via Malliavin calculus (2012)A real-option approach to mitigate disruption risk in the supply chain (2018)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)Differential equations driven by fractional Brownian motion (2002)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)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

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  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
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  • 2002Dynamical pricing of weather derivatives221 cited
  • 2001Lévy-Driven Carma Processes199 cited
  • 2006Fractional Lévy processes with an application to long memory moving average processes140 cited
  • 2008Consistent price systems and face-lifting pricing under transaction costs137 cited
  • 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
  • 2013Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes111 cited
  • 1985Volterra Equations Driven by Semimartingales107 cited
  • 2004Representations of continuous-time ARMA processes99 cited

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  • 2009Brownian semistationary processes and volatility/intermittency93 cited
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