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Minimal martingale measures for jump diffusion processes
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Minimal martingale measures for jump diffusion processes (2004)Minimal martingale measures for jump diff…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…On quadratic hedging in continuous time (2000)On quadratic hedging in conti…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …${\scr E}$-martingales and their applications in mathematical finance (1998)${\scr E}$-martingales and th…Option hedging for semimartingales (1991)Option hedging for semimartin…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Shot-noise processes and the minimal martingale measure (2007)Shot-noise processes and the …The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)A general version of the fundamental theorem of asset pricing (1994)An extension of mean-variance hedging to the discontinuous case (2004)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Mean-variance hedging via stochastic control and BSDEs for general semimartingales (2012)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Shot-Noise Processes in Finance (2017)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)Methods of Mathematical Finance (1998)On some recent aspects of stochastic control and their applications (2005)A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (2012)Calcul Stochastique et Problèmes de Martingales (1979)Martingales and arbitrage in multiperiod securities markets (1979)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Modeling and Forecasting Realized Volatility (2003)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)
this work references cited by second hop

References

  • 1990Stochastic Integration and Differential Equations1,204 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach701 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1991Option hedging for semimartingales379 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited
  • 2000On quadratic hedging in continuous time92 cited
  • 1998${\scr E}$-martingales and their applications in mathematical finance67 cited

Cited by

  • 2007Shot-noise processes and the minimal martingale measure20 cited

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