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Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
16 references·0 citing·34 second hop
Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (2004)Modelling long-range-dependent Gaussian p…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Theory of rational option pricing (2005)Theory of rational option pri…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Continuous-Time Finance. (1991)Continuous-Time Finance.Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Empirical properties of asset returns: stylized facts and statistical issues (2001)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Option pricing: A simplified approach (1979)
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References

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  • 1973Theory of Rational Option Pricing8,060 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
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  • 1999

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Essentials of Stochastic Finance
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