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Numerical Solution of Stochastic Differential Equations
16 references·14 citing·23 second hop
Numerical Solution of Stochastic Differential Equations (2016)Numerical Solution of Stochastic Differen…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …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…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Performance Comparison of the SGM and the SCM in EMC Simulation (2016)Performance Comparison of the…A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations (2016)A Multistep Scheme for Decoup…Constructing adaptive generalized polynomial chaos method to measure the uncertainty in continuous models: A computational approach (2014)Constructing adaptive general…A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations (2013)A Numerical Method and Its Er…Some recommendations for applying gPC (generalized polynomial chaos) to modeling: An analysis through the Airy random differential equation (2012)Some recommendations for appl…Numerical schemes for dynamically orthogonal equations of stochastic fluid and ocean flows (2012)Numerical schemes for dynamic…One linear analytic approximation for stochastic integrodifferential equations (2010)One linear analytic approxima…Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (2009)Optimal asset allocation for …On the Moments of the Modulus of Continuity of Itô Processes (2009)On the Moments of the Modulus…Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Weak Approximation of Stochas…Parameter estimation and bias correction for diffusion processes (2008)Parameter estimation and bias…Mean–variance portfolio and contribution selection in stochastic pension funding (2007)Mean–variance portfolio and c…Structure preserving stochastic integration schemes in interest rate derivative modeling (2006)Structure preserving stochast…An Option Pricing Formula for the GARCH Diffusion Model (2004)An Option Pricing Formula for…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)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited

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  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • Cited by

    • 2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing175 cited
    • 2008Parameter estimation and bias correction for diffusion processes154 cited
    • 2012Numerical schemes for dynamically orthogonal equations of stochastic fluid and ocean flows71 cited
    • 2009On the Moments of the Modulus of Continuity of Itô Processes69 cited
    • 2007Mean–variance portfolio and contribution selection in stochastic pension funding68 cited
    • 2006Structure preserving stochastic integration schemes in interest rate derivative modeling65 cited
    • 2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates62 cited
    • 2013A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations47 cited
    • 2004An Option Pricing Formula for the GARCH Diffusion Model47 cited
    • 2010One linear analytic approximation for stochastic integrodifferential equations40 cited
    • 2016Performance Comparison of the SGM and the SCM in EMC Simulation34 cited
    • 2016A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations30 cited
    • 2014Constructing adaptive generalized polynomial chaos method to measure the uncertainty in continuous models: A computational approach14 cited
    • 2012Some recommendations for applying gPC (generalized polynomial chaos) to modeling: An analysis through the Airy random differential equation14 cited