Information Technology Reference
In-Depth Information
17. F.E. Benth and T. Meyer-Brandis. The density process of the minimal entropy martingale
measure in a stochastic volatility model with jumps.
Finance Stoch.
,
9
(4):563-575, 2005.
18. J. Bertoin.
Lévy processes
. Cambridge University Press, New York, 1996.
19. S. Beuchler, R. Schneider, and Ch. Schwab. Multiresolution weighted norm equivalences
and applications.
Numer. Math.
,
98
(1):67-97, 2004.
20. I.H. Biswas. Viscosity solutions of integro-PDE: theory and numerical analysis with appli-
cations to controlled jump-diffusions. PhD thesis, University of Oslo, 2008.
21. F. Black and M. Scholes. The pricing of options and corporate liabilities.
J. Polit. Econ.
,
81
(3):637-659, 1973.
22. J.M. Bony, Ph. Courrège, and P. Priouret. Semi-groupes de Feller sur une variété à bord com-
pacte et problèmes aux limites intégro-différentiels du second ordre donnant lieu au principe
du maximum.
Ann. Inst. Fourier (Grenoble)
,
18
(2):369-521, 1968.
23. S.I. Boyarchenko and S.Z. Levendorskiı.
Non-Gaussian Merton-Black-Scholes theory
,vol-
ume
9
of
Advanced Series on Statistical Science & Applied Probability
. World Scientific,
River Edge, 2002.
24. D. Braess.
Finite elements
, 3rd edition. Cambridge University Press, Cambridge, 2007.
25. M.J. Brennan and E.S. Schwartz. The valuation of American put options.
J. Finance
,
32
(2):449-462, 1977.
26. M.J. Brennan and E.S. Schwartz. Finite difference methods and jump processes arising in
the pricing of contingents claims: a synthesis.
J. Financ. Quant. Anal.
,
13
:462-474, 1978.
27. S.C. Brenner and L.R. Scott.
The mathematical theory of finite element methods
, volume
15
of
Texts in Applied Mathematics
, 2nd edition. Springer, New York, 2002.
28. M. Briani, R. Natalini, and G. Russo. Implicit-explicit numerical schemes for jump-diffusion
processes.
Calcolo
,
44
(1):33-57, 2007.
29. D. Brigo and F. Mercurio.
Interest rate models—theory and practice
.
Springer Finance
, 2nd
edition. Springer, New York, 2006.
30. P. Brockwell, E. Chadraa, and A. Lindner. Continuous-time GARCH processes.
Ann. Appl.
Probab.
,
16
(2):790-826, 2006.
31. R. Carmona and M. Tehranchi.
Interest rate models: an infinite dimensional stochastic anal-
ysis perspective
.
Springer Finance
, 1st edition. Springer, New York, 2006.
32. R. Carmona and N. Touzi. Optimal multiple stopping and valuation of swing options.
Math.
Finance
,
18
(2):239-268, 2008.
33. P. Carr. Randomization and the American put.
Rev. Finance
,
11
(3):597-626, 1998.
34. P. Carr. Local variance gamma. Technical report, Private communication, 2009.
35. P. Carr, H. Geman, D. Madan, and M. Yor. From local volatility to local Lévy models.
Quant.
Finance
,
4
(5):581-588, 2004.
36. P. Carr, H. Geman, D.B. Madan, and M. Yor. The fine structure of assets returns: an empirical
investigation.
J. Bus.
,
75
(2):305-332, 2002.
37. P. Carr, H. Geman, D.B. Madan, and M. Yor. Stochastic volatility for Lévy processes.
Math.
Finance
,
13
(3):345-382, 2003.
38. A. Cohen.
Numerical analysis of wavelet methods
, volume
32
of
Studies in Mathematics and
Its Applications
. North-Holland, Amsterdam, 2003.
39. S. Cohen and J. Rosi nski. Gaussian approximation of multivariate Lévy processes with ap-
plications to simulation of tempered stable processes.
Bernoulli
,
13
(1):195-210, 2007.
40. R. Cont and P. Tankov.
Financial modelling with jump processes
.
Financial Mathematics
Series
. Chapman & Hall/CRC, Boca Raton, 2004.
41. R. Cont and E. Voltchkova. A finite difference scheme for option pricing in jump diffusion
and exponential Lévy models.
SIAM J. Numer. Anal.
,
43
(4):1596-1626, 2005.
42. R. Cont and E. Voltchkova. Integro-differential equations for option prices in exponential
Lévy models.
Finance Stoch.
,
9
(3):299-325, 2005.
43. R. Courant, K. Friedrichs, and H. Lewy. Über die partiellen Differenzengleichungen
der mathematischen Physik.
Math. Ann.
,
100
(1):32-74, 1928.
44. Ph. Courrège. Sur la forme intégro-differentielle des opérateurs de
C
k
dans
C
satisfaisant
du principe du maximum. Sém. Théorie du Potentiel, 38:38 pp., 1965/1966.
Search WWH ::
Custom Search