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A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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A new technique for calibrating stochastic volatility models: the Malliavin gradient method (2006)A new technique for calibrating stochasti…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Malliavin Calculus with Applications to Stochastic Partial Differential Equations (2005)Malliavin Calculus with Appli…The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…An Introduction to Analysis on Wiener Space (1995)An Introduction to Analysis o…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)Stochastic Calculus with Respect to Gaussian Processes (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

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156 cited
  • 2005Malliavin Calculus with Applications to Stochastic Partial Differential Equations114 cited
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