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Stochastic integral representations, stochastic derivatives and minimal variance hedging
16 references·2 citing·31 second hop
Stochastic integral representations, stochastic derivatives and minimal variance hedging (2002)Stochastic integral representations, stoc…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Stochastic Analysis (1997)Stochastic AnalysisThe Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Malliavin's calculus and stoc…Semimartingales (1982)SemimartingalesDerivatives of Wiener functionals and absolute continuity of induced measures (1980)Derivatives of Wiener functio…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…On Square Integrable Martingales (1967)On Square Integrable Martinga…Weak approximations for Wiener functionals (2009)Weak approximations for Wiene…MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION (2003)MINIMAL VARIANCE HEDGING FOR …Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)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)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Stein’s method on Wiener chaos (2008)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

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153 cited

Cited by

  • 2009Weak approximations for Wiener functionals26 cited
  • 2003MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION25 cited