From Stochastic Calculus to Mathematical Finance
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Published By Springer Berlin Heidelberg

9783540307822, 9783540307884

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_26 ◽

2006 ◽

pp. 535-546 ◽

Cited By ~ 11

Author(s):

Goran Peskir

Keyword(s):

Fundamental Solution

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A Martingale Equation of Exponential Type

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_24 ◽

2006 ◽

pp. 507-516

Author(s):

Michael Mania ◽

Revaz Tevzadze

Keyword(s):

Exponential Type

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Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_10 ◽

2006 ◽

pp. 211-226 ◽

Cited By ~ 2

Author(s):

Giovanni B. Di Masi ◽

Lukasz Stettner

Keyword(s):

Portfolio Optimization ◽

Risk Sensitive ◽

Risk Neutral

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A Minimax Result for f-Divergences

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_14 ◽

2006 ◽

pp. 287-294

Author(s):

Alexander A. Gushchin ◽

Denis A. Zhdanov

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On Local Martingale and its Supremum: Harmonic Functions and beyond

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_25 ◽

2006 ◽

pp. 517-533 ◽

Cited By ~ 6

Author(s):

Jan Oblój ◽

Marc Yor

Keyword(s):

Harmonic Functions ◽

Local Martingale

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Stochastic Differential Equations: A Wiener Chaos Approach

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_23 ◽

2006 ◽

pp. 433-506 ◽

Cited By ~ 33

Author(s):

Sergey Lototsky ◽

Boris Rozovskii

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Wiener Chaos

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On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_11 ◽

2006 ◽

pp. 227-248 ◽

Cited By ~ 2

Author(s):

Hans-Jürgen Engelbert ◽

Vladimir P. Kurenok ◽

Adrian Zalinescu

Keyword(s):

Existence And Uniqueness ◽

Stochastic Equations ◽

Stable Processes ◽

Symmetric Stable Processes

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Optimal Hedging with Basis Risk

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_8 ◽

2006 ◽

pp. 169-187 ◽

Cited By ~ 34

Author(s):

Mark H. A. Davis

Keyword(s):

Basis Risk ◽

Optimal Hedging

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Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_21 ◽

2006 ◽

pp. 393-419 ◽

Cited By ~ 26

Author(s):

Claudia Klüppelberg ◽

Alexander Lindner ◽

Ross Maller

Keyword(s):

Continuous Time

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A Didactic Note on Affine Stochastic Volatility Models

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_18 ◽

2006 ◽

pp. 343-368 ◽

Cited By ~ 50

Author(s):

Jan Kallsen

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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From Stochastic Calculus to Mathematical FinanceLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer Berlin Heidelberg

On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

A Martingale Equation of Exponential Type

Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

A Minimax Result for f-Divergences

On Local Martingale and its Supremum: Harmonic Functions and beyond

Stochastic Differential Equations: A Wiener Chaos Approach

On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

Optimal Hedging with Basis Risk

Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models

A Didactic Note on Affine Stochastic Volatility Models

From Stochastic Calculus to Mathematical Finance
Latest Publications