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LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
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LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE (2010)LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WI…Existence of Lévy term structure models (2007)Existence of Lévy term struct…Stochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A theory of bond portfolios (2005)A theory of bond portfoliosL�vy term structure models: No-arbitrage and completeness (2004)L�vy term structure models: N…The Defaultable Lévy Term Structure: Ratings and Restructuring (2003)The Defaultable Lévy Term Str…Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Consistency Problems for Heat…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Towards a general theory of bond markets (1997)Towards a general theory of b…The Euler scheme for Lévy driven stochastic differential equations (1997)The Euler scheme for Lévy dri…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…Some inequalities for martingales and stochastic convolutions (1986)Some inequalities for marting…Semimartingales (1982)SemimartingalesOn stochastic squations with respect to semimartingales III (1982)On stochastic squations with …A submartingale type inequality with applicatinos to stochastic evolution equations (1982)A submartingale type inequali…On stochastic equations with respect to semimartingales I.† (1980)On stochastic equations with …On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions (2014)On Maximal Inequalities for P…Heath–Jarrow–Morton–Musiela equation with Lévy perturbation (2012)Heath–Jarrow–Morton–Musiela e…Forward rate models with linear volatilities (2011)Forward rate models with line…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Market Model of Interest Rate Dynamics (1997)The Lévy LIBOR model (2005)Risk-neutral compatibility with option prices (2009)Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)The Behavior of Stock-Market Prices (1965)Continuous Martingales and Brownian Motion (1999)Non-Gaussian OU based models and some of their uses in financial economics (2000)Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Polynomial processes and their applications to mathematical finance (2012)Numerical solution of stochastic differential equations (2016)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Continuous-time term structure models: Forward measure approach (1997)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The Term Structure of Interest Rates as a Random Field (2000)Controlled Diffusion Processes (1980)Weak and strong solutions of stochastic differential equations: Existence and stability (1981)On stochastics equations with respect to semimartingales ii. itô formula in banach spaces (1982)Un Cours sur les Intégrales Stochastiques (2002)Stochastic Evolution Equations of Jump Type: Existence, Uniqueness and Large Deviation Principles (2007)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Existence of invariant manifolds for stochastic equations in infinite dimension (2003)On the geometry of the term structure of interest rates (2004)Consistent Variance Curve Models (2006)On the existence of smooth densities for jump processes (1996)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Change of variable formulas for non-anticipative functionals on path space (2010)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)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)On the Existence of Optimal Controls (1990)Path Dependent Options: The Case of Lookback Options (1991)A Stochastic Wave Equation in Two Space Dimension: Smoothness of the Law (1999)
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  • 1986Some inequalities for martingales and stochastic convolutions

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Cited by

  • 2014On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions49 cited
  • 2012Heath–Jarrow–Morton–Musiela equation with Lévy perturbation42 cited
  • 2011Forward rate models with linear volatilities32 cited