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Martingale Methods in Financial Modelling
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On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies. In a letter to Francis Baily, Esq. F. R. S. &c (1825)Martingale Methods in Financial Modelling (1997)Robust Control and Model Uncertainty (2001)Peer group situations and games with fuzzy uncertainty (2023)Platform information sharing and selling contract strategies with blockchain adoption (2023)
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  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty85 cited
  • 2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING68 cited
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  • 2017Regime-switching stochastic volatility model: estimation and calibration to VIX options62 cited
  • 2009Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland54 cited
  • 2009Esscher transform and the duality principle for multidimensional semimartingales53 cited
  • 2011Option Pricing in Subdiffusive Bachelier Model47 cited
  • 2013COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA44 cited
  • 2009ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY40 cited
  • 2014A General HJM Framework for Multiple Yield Curve Modeling

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40 cited
  • 2007Estimation of the volatility persistence in a discretely observed diffusion model38 cited
  • 2009Stochastic Volatility and Stochastic Leverage38 cited