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Jump-diffusions in Hilbert spaces: existence, stability and numerics
13 references·2 citing·37 second hop
Jump-diffusions in Hilbert spaces: existence, stability and numerics (2010)Jump-diffusions in Hilbert spaces: existe…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation (2008)Itô's formula in UMD Banach s…TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS (2007)TERM STRUCTURES OF IMPLIED VO…Stochastic Partial Differential Equations with Levy Noise (2007)Stochastic Partial Differenti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…On the geometry of the term structure of interest rates (2004)On the geometry of the term s…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Cubature on Wiener space (2004)Cubature on Wiener spaceApproximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus (2004)Approximation of expectation …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Towards a general theory of bond markets (1997)Towards a general theory of b…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…A convergence result for stochastic partial differential equations (1988)A convergence result for stoc…A General HJM Framework for Multiple Yield Curve Modeling (2014)A General HJM Framework for M…ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS (2011)ANOTHER APPROACH TO SOME ROUG…Stochastic Differential Equations and Diffusion Processes (1983)Differential equations driven by rough signals (1998)An Introduction to Rough Paths (2003)Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Continuous-time term structure models: Forward measure approach (1997)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The Term Structure of Interest Rates as a Random Field (2000)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Chaos and coherence: a new framework for interest–rate modelling (2004)Time-inhomogeneous affine processes (2004)Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)Applications of the Malliavin calculus. II (1985)The law of the Euler scheme for stochastic differential equations (1996)A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method (2009)Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (2012)Exact and high-order discretization schemes for Wishart processes and their affine extensions (2013)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)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)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Existence of Lévy term structure models (2007)Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)Moderate deviation principles for stochastic differential equations with jumps (2016)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)
this work references cited by second hop

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  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
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  • 2004Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus90 cited
  • 2007TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS90 cited
  • 2008Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation78 cited
  • 1988A convergence result for stochastic partial differential equations75 cited

Cited by

  • 2014A General HJM Framework for Multiple Yield Curve Modeling40 cited
  • 2011ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS28 cited

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