50 citations to https://www.mathnet.ru/rus/tvp3906
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Kobayashi K., “Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations”, J. Theor. Probab., 24:3 (2011), 789–820
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Ole E. Barndorff-Nielsen, Almut Veraart, “Stochastic Volatility of Volatility and Variance Risk Premia”, SSRN Journal, 2011
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Kallsen J., Pauwels A., “Variance-optimal hedging in general affine stochastic volatility models”, Adv. in Appl. Probab., 42:1 (2010), 83–105
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Almut E.D. Veraart, Matthias Winkel, Encyclopedia of Quantitative Finance, 2010
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Álvaro Cartea, “Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data”, SSRN Journal, 2010
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Cartea Á., Howison S., “Option pricing with Lévy–Stable processes generated by Lévy–Stable integrated variance”, Quant. Finance, 9:4 (2009), 397–409
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Eberlein E., Papapantoleon A., Shiryaev A.N., “Esscher Transform and the Duality Principle for Multidimensional Semimartingales”, Ann Appl Probab, 19:5 (2009), 1944–1971
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Kallsen J., Vierthauer R., “Quadratic hedging in affine stochastic volatility models”, Review of Derivatives Research, 12:1 (2009), 3–27
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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
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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