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α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
9 references·0 citing·31 second hop
α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties (2010)α-Wiener Bridges: Singularity of Induced …Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions (2011)Explicit formulas for Laplace…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals (2004)On a One-Parameter Generaliza…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…Sur le comportement asymptotique des martingales locales (1978)Sur le comportement asymptoti…The relation between forward prices and futures prices (1981)Hedging Performance and Basis Risk in Stock Index Futures (1984)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Options Arbitrage in Imperfect Markets (1989)Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion - Facts and Formulae (2002)Perpetual Integral Functionals as Hitting and Occupation Times (2005)Parameter Estimation for α-Fractional Bridges (2013)Martingales and Stochastic Integrals I (1972)Un Cours sur les Intégrales Stochastiques (2002)Approximating some Volterra type stochastic integrals with applications to parameter estimation (2003)Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes (2009)A framework for adaptive Monte Carlo procedures (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)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)Karhunen-Loève expansions of α-Wiener bridges (2010)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)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

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 1978Sur le comportement asymptotique des martingales locales56 cited
  • 2004On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals34 cited
  • 2011Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions27 cited

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