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A representation formula for transition probability densities of diffusions and applications
3 references·0 citing·8 second hop
A representation formula for transition probability densities of diffusions and applications (2004)A representation formula for transition p…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSION PROCESSES (North-Holland Mathematical Library, 24) (1982)STOCHASTIC DIFFERENTIAL EQUAT…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)SPDEs driven by Poisson random measure with non Lipschitz coefficients: existence results (2006)Quasi Ornstein–Uhlenbeck processes (2011)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1982STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSION PROCESSES (North-Holland Mathematical Library, 24)55 cited

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