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Robustness of option prices and their deltas in markets modelled by jump-diffusions
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Robustness of option prices and their deltas in markets modelled by jump-diffusions (2011)Robustness of option prices and their del…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Introduction to Stochastic Integration (2006)Introduction to Stochastic In…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Malliavin Monte Carlo Greeks for jump diffusions (2005)Malliavin Monte Carlo Greeks …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)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)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
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