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Shot-noise processes and the minimal martingale measure
10 references·1 citing·33 second hop
Shot-noise processes and the minimal martingale measure (2007)Shot-noise processes and the minimal mart…A SHOT NOISE MODEL FOR FINANCIAL ASSETS (2008)A SHOT NOISE MODEL FOR FINANC…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Minimal martingale measures for jump diffusion processes (2004)Minimal martingale measures f…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Shot-Noise Processes in Finance (2017)Shot-Noise Processes in Finan…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)Stochastic Integration and Differential Equations (1990)Stochastic Integration and Differential Equations : A New Approach (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Backward Stochastic Differential Equations in Finance (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Common Failings: How Corporate Defaults Are Correlated (2007)Frailty Correlated Default (2009)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)Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (2011)Equilibruim approach of asset pricing under Lévy process (2012)Catastrophe Insurance Modeled by Shot-Noise Processes (2014)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,176 cited
  • 2005Stochastic Integration and Differential Equations4,607 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2005Stochastic Integration and Differential Equations. Second Edition.330 cited
  • 2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS24 cited
  • 2004Minimal martingale measures for jump diffusion processes21 cited

Cited by

  • 2017Shot-Noise Processes in Finance16 cited

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