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Weak Convergence of Financial Markets
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Weak Convergence of Financial Markets (2003)Weak Convergence of Financial MarketsWeak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Weak convergence of error pro…Numerical methods for Lévy processes (2009)Numerical methods for Lévy pr…CONTINUITY OF UTILITY‐MAXIMIZATION WITH RESPECT TO PREFERENCES (2009)CONTINUITY OF UTILITY‐MAXIMIZ…Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2007)Rank-1/2: A Simple Way to Imp…Brownian Motion and Stochastic Calculus (1988)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Limit Theorems for Stochastic Processes (2003)Discretization error of stochastic integrals (2011)An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (2013)Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift (2017)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011)Numerical solution of stochastic differential equations (2016)Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (2021)Human behavior and the principle of least effort (1949)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Bankruptcy risk model and empirical tests (2010)Communication activity in a social network: relation between long-term correlations and inter-event clustering (2012)Export Superstars (2012)
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  • 2007Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents83 cited
  • 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces39 cited
  • 2009Numerical methods for Lévy processes34 cited
  • 2009CONTINUITY OF UTILITY‐MAXIMIZATION WITH RESPECT TO PREFERENCES32 cited

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