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Asymptotic Expansion Approach in Finance
16 references·1 citing·31 second hop
Asymptotic Expansion Approach in Finance (2015)Asymptotic Expansion Approach in FinanceForward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Stochastic Analysis (1997)Stochastic AnalysisLIBOR and swap market models and measures (1997)LIBOR and swap market models …Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability (2017)Quadratic–exponential growth …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)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)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Controlled Markov Processes and Viscosity Solutions (2005)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)Stein’s method on Wiener chaos (2008)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1997Stochastic Analysis1,035 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 cited
  • 1987

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Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels
264 cited

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  • 2017Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability29 cited