SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the uniqueness of classical solutions of Cauchy problems
10 references·0 citing·43 second hop
On the uniqueness of classical solutions of Cauchy problems (2010)On the uniqueness of classical solutions …BUBBLES, CONVEXITY AND THE BLACK–SCHOLES EQUATION (2012)BUBBLES, CONVEXITY AND THE BL…On the martingale property of certain local martingales (2010)On the martingale property of…On optimal arbitrage (2010)On optimal arbitrageBubbles, convexity and the Black–Scholes equation (2009)Bubbles, convexity and the Bl…Stochastic differential equations and applications (2008)Stochastic differential equat…Options and Bubbles (2006)Options and BubblesOn one-dimensional stochastic differential equations with generalized drift (2005)On one-dimensional stochastic…Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…On stochastic differential equations and applications (1969)On stochastic differential eq…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)One — dimensional stochastic differential equations involving the local times of the unknown process (1984)The Euler scheme with irregular coefficients (2002)On Weak Solutions of Backward Stochastic Differential Equations (2005)MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISTRIBUTIONAL DRIFT (2014)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)How to Detect an Asset Bubble (2011)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)The Pricing of Options on Assets with Stochastic Volatilities (1987)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2014)Robustness of the Black and Scholes Formula (1998)Moment explosions in stochastic volatility models (2006)The Economic Plausibility of Strict Local Martingales in Financial Modelling (2010)Valuation Equations for Stochastic Volatility Models (2012)Computational recovery of time-dependent volatility from integral observations in option pricing (2019)The Malliavin Calculus and Related Topics (1995)The numéraire portfolio in semimartingale financial models (2007)Rational asset pricing bubbles and portfolio constraints (2010)Optimal arbitrage under model uncertainty (2011)On the hedging of options on exploding exchange rates (2013)Stochastic Differential Equations and Applications (1976)Discretely sampled variance and volatility swaps versus their continuous approximations (2012)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)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)Introduction to Stochastic Differential Equations (2014)Nonparametric estimation for linear SPDEs from local measurements (2021)
this work references cited by second hop

References

  • 2008Stochastic differential equations and applications4,595 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2005Local martingales, bubbles and option prices234 cited
  • 2006Options and Bubbles206 cited
  • 2010On the martingale property of certain local martingales120 cited
  • 2005On one-dimensional stochastic differential equations with generalized drift109 cited
  • 2010On optimal arbitrage76 cited
  • 1969On stochastic differential equations and applications52 cited
  • 2012BUBBLES, CONVEXITY AND THE BLACK–SCHOLES EQUATION48 cited
  • 2009Bubbles, convexity and the Black–Scholes equation38 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work