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BENCHMARKED RISK MINIMIZATION
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BENCHMARKED RISK MINIMIZATION (2014)BENCHMARKED RISK MINIMIZATIONASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Option hedging for semimartingales (1991)Option hedging for semimartin…The numeraire portfolio (1990)The numeraire portfolioHedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…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)Calcul Stochastique et Problèmes de Martingales (1979)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)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)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)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)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)
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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
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1998Methods of Mathematical Finance888 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
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 1990The numeraire portfolio319 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited

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