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Arbitrage-free pricing of derivatives in nonlinear market models
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Arbitrage-free pricing of derivatives in nonlinear market models (2018)Arbitrage-free pricing of derivatives in …Counterparty Risk and Funding (2014)Counterparty Risk and FundingBSDEs with jumps, optimization and applications to dynamic risk measures (2013)BSDEs with jumps, optimizatio…Market viability via absence of arbitrage of the first kind (2012)Market viability via absence …BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BILATERAL COUNTERPARTY RISK U…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)BILATERAL COUNTERPARTY RISK U…Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Funding Valuation Adjustment:…Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs (2010)Partial Differential Equation…The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…The Mathematics of Arbitrage (2006)The Mathematics of ArbitrageThe Mathematics of Arbitrage (2005)The Mathematics of ArbitrageHedging of Defaultable Claims (2004)Hedging of Defaultable ClaimsHedging American contingent claims with constrained portfolios (1998)Hedging American contingent c…Non-linear pricing theory and backward stochastic differential equations (1997)Non-linear pricing theory and…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…On the pricing of contingent claims under constraints (1996)On the pricing of contingent …Option Pricing with Differential Interest Rates (1995)Option Pricing with Different…Limit Theorems for Stochastic Processes (2003)Credit Risk: Modeling, Valuation and Hedging (2004)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)Forward-Backward Stochastic Differential Equations and their Applications (2007)Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)Adapted solution of a backward stochastic differential equation (1990)Stochastic Integration and Differential Equations (2005)Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty (2012)BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2015)Reflected BSDEs when the obstacle is not right-continuous and optimal stopping (2017)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Brownian Motion and Stochastic Calculus (2007)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Methods of Mathematical Finance (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Stochastic Portfolio Theory: an Overview (2009)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Continuous Martingales and Brownian Motion (1999)Optimal derivatives design under dynamic risk measures (2004)CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Counterparty Risk and the Pricing of Defaultable Securities (2001)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)A Benchmark Approach to Quantitative Finance (2006)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Arbitrage and duality in nondominated discrete-time models (2015)HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? (2007)Utility maximization in a jump market model (2009)A note on the condition of no unbounded profit with bounded risk (2014)
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References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2005The Mathematics of Arbitrage359 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 1996On the pricing of contingent claims under constraints191 cited
  • 2006The Mathematics of Arbitrage187 cited
  • 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs179 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
  • 2013BSDEs with jumps, optimization and applications to dynamic risk measures151 cited
  • 1997Non-linear pricing theory and backward stochastic differential equations150 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
  • 1998Hedging American contingent claims with constrained portfolios122 cited
  • 2004Hedging of Defaultable Claims105 cited
  • 1995Option Pricing with Differential Interest Rates91 cited
  • 2014Counterparty Risk and Funding83 cited
  • 2011Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation80 cited

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  • 2012Market viability via absence of arbitrage of the first kind79 cited
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