Tomasz Piskorski, Alexei Tchistyi, “Optimal Mortgage Design”, SSRN Journal, 2009
David Criens, Kathrin Glau, Zorana Grbac, “Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models”, Applied Mathematical Finance, 24, № 1, 2017, 23
Alice Buccioli, Thomas Kokholm, “Constant Proportion Portfolio Insurance Strategies in Contagious Markets”, SSRN Journal, 2017
Márton Ispány, Gyula Pap, “Asymptotic Behavior of Critical Primitive Multi-Type Branching Processes with Immigration”, Stochastic Analysis and Applications, 32, № 5, 2014, 727
Markus Michaelsen, Alexander Szimayer, “Marginal consistent dependence modelling using weak subordination for Brownian motions”, Quantitative Finance, 18, № 11, 2018, 1909
Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij, Jeanette Woerner, “Bipower Variation for Gaussian Processes with Stationary Increments”, SSRN Journal, 2008
B. M. Miller, G. B. Miller, K. V. Semenikhin, “Optimal Channel Choice for Lossy Data Flow Transmission”, Autom Remote Control, 79, № 1, 2018, 66
Antoine Jacquier, Patrick Roome, “Black–Scholes in a CEV random environment”, Math Finan Econ, 12, № 3, 2018, 445
Alain Durmus, Arnaud Guillin, Pierre Monmarché, “Piecewise deterministic Markov processes and their invariant measures”, Ann. Inst. H. Poincaré Probab. Statist., 57, № 3, 2021
Johannes Muhle-Karbe, Zexin Wang, Kevin Webster, “A Leland Model for Delta Hedging in Central Risk Books”, SSRN Journal, 2022