165 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov, “A characterization of the martingale property of exponentially affine processes”, Stochastic Processes and their Applications, 121, № 3, 2011, 568  crossref
  2. Robert J. Elliott, Tak Kuen Siu, “Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes”, Applied Mathematical Finance, 20, № 1, 2013, 1  crossref
  3. F. Klebaner, R. Liptser, “When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method”, Theory Probab. Appl., 58, № 1, 2014, 38  crossref
  4. Michail Anthropelos, Michael Kupper, Antonis Papapantoleon, “An Equilibrium Model for Spot and Forward Prices of Commodities”, Mathematics of OR, 43, № 1, 2018, 152  crossref
  5. Andrii Andrusiv, Hans-Jürgen Engelbert, “On the minimal entropy martingale measure for Lévy processes”, Stochastics, 92, № 8, 2020, 1223  crossref
  6. Silika Prohl, “Levy-Driven Libor Model and its Numerical Approximation”, SSRN Journal, 2012  crossref
  7. Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev, “Esscher transform and the duality principle for multidimensional semimartingales”, Ann. Appl. Probab., 19, № 5, 2009  crossref
  8. Martin Larsson, Johannes Ruf, “Convergence of local supermartingales”, Ann. Inst. H. Poincaré Probab. Statist., 56, № 4, 2020  crossref
  9. Aysun Türkvatan, Azize Hayfavi, Tolga Omay, “A regime switching model for temperature modeling and applications to weather derivatives pricing”, Math Finan Econ, 14, № 1, 2020, 1  crossref
  10. Johannes Ruf, “A new proof for the conditions of Novikov and Kazamaki”, Stochastic Processes and their Applications, 123, № 2, 2013, 404  crossref
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