Aleksandar Mijatovic, Mikhail Urusov, “A Note on Delta Hedging in Markets with Jumps”, SSRN Journal, 2011
Zhen Wu, Yan Zhang, “Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls”, Journal of Mathematical Analysis and Applications, 530, no. 2, 2024, 127720
Aleš Černý, 189, Advanced Modelling in Mathematical Finance, 2016, 257
Mark Podolskij, Mathias Vetter, “Bipower-Type Estimation in a Noisy Diffusion Setting”, SSRN Journal, 2008
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier, “Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model”, SSRN Journal, 2015
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras, “Stability of backward stochastic differential equations: the general Lipschitz case”, Electron. J. Probab., 28, no. none, 2023
Holger Kraft, Frank Thomas Seifried, “Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents”, SSRN Journal, 2008
Avishai Mandelbaum, Petar Momčilović, “Queues with Many Servers: The Virtual Waiting-Time Process in the QED Regime”, Mathematics of OR, 33, no. 3, 2008, 561
V. Konarovskyi, “Sticky-Reflected Stochastic Heat Equation Driven by Colored Noise”, Ukr Math J, 72, no. 9, 2021, 1377
Marcel Nutz, “POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS”, Mathematical Finance, 22, no. 4, 2012, 690