50 citations to https://www.mathnet.ru/rus/tvp3906
  1. Kobayashi K., “Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations”, J. Theor. Probab., 24:3 (2011), 789–820  crossref  mathscinet  zmath  isi  scopus
  2. Ole E. Barndorff-Nielsen, Almut Veraart, “Stochastic Volatility of Volatility and Variance Risk Premia”, SSRN Journal, 2011  crossref
  3. Kallsen J., Pauwels A., “Variance-optimal hedging in general affine stochastic volatility models”, Adv. in Appl. Probab., 42:1 (2010), 83–105  crossref  mathscinet  zmath  isi  scopus
  4. Almut E.D. Veraart, Matthias Winkel, Encyclopedia of Quantitative Finance, 2010  crossref
  5. Álvaro Cartea, “Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data”, SSRN Journal, 2010  crossref
  6. Cartea Á., Howison S., “Option pricing with Lévy–Stable processes generated by Lévy–Stable integrated variance”, Quant. Finance, 9:4 (2009), 397–409  crossref  mathscinet  zmath  isi  scopus
  7. Eberlein E., Papapantoleon A., Shiryaev A.N., “Esscher Transform and the Duality Principle for Multidimensional Semimartingales”, Ann Appl Probab, 19:5 (2009), 1944–1971  crossref  mathscinet  zmath  isi  elib  scopus
  8. Kallsen J., Vierthauer R., “Quadratic hedging in affine stochastic volatility models”, Review of Derivatives Research, 12:1 (2009), 3–27  crossref  mathscinet  zmath  isi  scopus
  9. Rhee Joonhee, Kim Yoon Tae, “What does the market price of risk tell us in the single factor interest rate model?”, J. Korean Statist. Soc., 37:3 (2008), 249–257  crossref  mathscinet  zmath  isi  scopus
  10. Zhou H.-l., Wang Sh.-ya., “A Computation of the Price of Convertible Bonds with Changes of Numeraire and Changes of Time”, Advances in Business Intelligence and Financial Engineering, Advances in Intelligent Systems Research, 5, 2008, 142–148  isi
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