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The Föllmer–Schweizer decomposition: Comparison and description
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The Föllmer–Schweizer decomposition: Comparison and description (2010)The Föllmer–Schweizer decomposition: Comp…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Minimal Hellinger martingale measures of order q (2007)Minimal Hellinger martingale …The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Weighted norm inequalities and hedging in incomplete markets (1997)Weighted norm inequalities an…Approximation pricing and the variance-optimal martingale measure (1996)Approximation pricing and the…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Approximating Random Variables by Stochastic Integrals (1994)Approximating Random Variable…Lois de martingale, densités et décomposition de Föllmer Schweizer (1992)Lois de martingale, densités …Option hedging for semimartingales (1991)Option hedging for semimartin…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Théorie des martingales (1980)Théorie des martingalesCalcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…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)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Theory of Rational Option Pricing (1973)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)A general version of the fundamental theorem of asset pricing (1994)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Mean-Variance Hedging for General Claims (1992)Variance-Optimal Hedging in Discrete Time (1995)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)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)White noise analysis for Lévy processes (2003)Bilateral gamma distributions and processes in financial mathematics (2007)Tempered stable distributions and processes (2013)
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References

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  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 1994Approximating Random Variables by Stochastic Integrals179 cited
  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited
  • 1997Weighted norm inequalities and hedging in incomplete markets118 cited
  • 2007Minimal Hellinger martingale measures of order q77 cited
  • 1992Lois de martingale, densités et décomposition de Föllmer Schweizer69 cited
  • 1980Théorie des martingales

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