164 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. Ernst Eberlein, Zorana Grbac, “RATING BASED LÉVY LIBOR MODEL”, Mathematical Finance, 23, № 4, 2013, 591  crossref
  2. Alexander Sokol, “Optimal Novikov-type criteria for local martingales with jumps”, Electron. Commun. Probab., 18, № none, 2013  crossref
  3. Kjetil Røysland, “Counterfactual analyses with graphical models based on local independence”, Ann. Statist., 40, № 4, 2012  crossref
  4. Hailiang Yang, Encyclopedia of Actuarial Science, 2004  crossref
  5. Friedrich Hubalek, Jan Kallsen, Leszek Krawczyk, “Variance-optimal hedging for processes with stationary independent increments”, Ann. Appl. Probab., 16, № 2, 2006  crossref
  6. Tak Kuen Siu, 209, Hidden Markov Models in Finance, 2014, 185  crossref
  7. Роман Валерьевич Иванов, Roman Valer'evich Ivanov, Альберт Николаевич Ширяев, Albert Nikolaevich Shiryaev, “О принципе дуальности для хеджирующих стратегий в диффузионных моделях”, ТВП, 56, № 3, 2011, 417  crossref
  8. Tak Kuen Siu, “A self-exciting threshold jump–diffusion model for option valuation”, Insurance: Mathematics and Economics, 69, 2016, 168  crossref
  9. Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang, “Pricing annuity guarantees under a double regime-switching model”, Insurance: Mathematics and Economics, 62, 2015, 62  crossref
  10. Ludger RRschendorf, Steven Vanduffel, “On the Construction of Optimal Payoffs”, SSRN Journal, 2017  crossref
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