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Why Are Quadratic Normal Volatility Models Analytically Tractable?
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Why Are Quadratic Normal Volatility Models Analytically Tractable? (2013)Why Are Quadratic Normal Volatility Model…On the hedging of options on exploding exchange rates (2013)On the hedging of options on …PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009)PUT‐CALL SYMMETRY: EXTENSIONS…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Chaos and coherence: a new framework for interest–rate modelling (2004)Chaos and coherence: a new fr…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Valuing foreign exchange rate derivatives with a bounded exchange process (1996)Valuing foreign exchange rate…Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)Arbitrage possibilities in Be…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)The valuation of American barrier options using the decomposition technique (2000)Robust Hedging of Barrier Options (2001)Theory of rational option pricing (2005)Pricing and Hedging Volatility Derivatives (2008)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)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)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)Term Structure Dynamics in Theory and Reality (2003)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)A general version of the fundamental theorem of asset pricing (1994)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)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)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates163 cited
  • 1995Arbitrage possibilities in Bessel processes and their relations to local martingales132 cited
  • 2009PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS123 cited
  • 2004Chaos and coherence: a new framework for interest–rate modelling99 cited
  • 2013On the hedging of options on exploding exchange rates57 cited
  • 1996Valuing foreign exchange rate derivatives with a bounded exchange process

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