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Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
12 references·0 citing·25 second hop
Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators (2021)Strong approximation of time-changed stoc…Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients (2019)Strong approximation of stoch…Representations and isomorphism identities for infinitely divisible processes (2018)Representations and isomorphi…Path stability of stochastic differential equations driven by time-changed Lévy noises (2018)Path stability of stochastic …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Option Pricing in Subdiffusive Bachelier Model (2011)Option Pricing in Subdiffusiv…Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations (2010)Stochastic Calculus for a Tim…On the Moments of the Modulus of Continuity of Itô Processes (2009)On the Moments of the Modulus…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Théorie de la spéculation (1900)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Martingales and Brownian Motion (1999)Extreme Values, Regular Variation and Point Processes (1987)Weak and strong approximations of reflected diffusions via penalization methods (2012)A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (2014)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)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (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)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
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  • 2009On the Moments of the Modulus of Continuity of Itô Processes69 cited
  • 2011Option Pricing in Subdiffusive Bachelier Model47 cited
  • 2019Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients44 cited
  • 2018Path stability of stochastic differential equations driven by time-changed Lévy noises31 cited
  • 2018Representations and isomorphism identities for infinitely divisible processes25 cited

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