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Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes
15 references·1 citing·37 second hop
Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (2007)Stochastic Analysis of Jump-Diffusions fo…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Non-Gaussian OU based models and some of their uses in financial economics (2000)Non-Gaussian OU based models …Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability (2000)A Jump Diffusion Model for Op…Predictability and unpredictability in financial markets (1999)Predictability and unpredicta…Continuous-Time Finance. (1991)Continuous-Time Finance.Continuous-Time Finance. (1991)Continuous-Time Finance.A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model” (1988)A note on Merton's “Optimum C…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Controlled Stochastic Processes (1979)Controlled Stochastic Process…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Parameter estimation risk in asset pricing and risk management: A Bayesian approach (2017)Parameter estimation risk in …Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Optimization Problems in the Theory of Continuous Trading (1989)Hedging in incomplete markets with HARA utility (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Universal option valuation using quadrature methods (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Stock Market Crashes, Precursors and Replicas (1996)Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2006)Applications of Statistical Mechanics (2014)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1991Continuous-Time Finance.647 cited
  • 2006Paul Wilmott on Quantitative Finance467 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1979Controlled Stochastic Processes351 cited
  • 2000Non-Gaussian OU based models and some of their uses in financial economics112 cited
  • 1988A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model”72 cited
  • 2000A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability43 cited
  • 1999Predictability and unpredictability in financial markets

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  • 2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach18 cited