15 results
OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
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- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
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- 13 August 2021, pp. 123-142
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Almost sure central limit theorems in stochastic geometry
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- Advances in Applied Probability / Volume 52 / Issue 3 / September 2020
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- 24 September 2020, pp. 705-734
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- September 2020
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DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
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- Probability in the Engineering and Informational Sciences / Volume 36 / Issue 1 / January 2022
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- 12 May 2020, pp. 201-216
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A martingale approach for asset allocation with derivative security and hidden economic risk
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- Journal of Applied Probability / Volume 56 / Issue 3 / September 2019
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- 01 October 2019, pp. 723-749
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- September 2019
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SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 17 February 2016, pp. 280-298
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Simplicial Homology of Random Configurations
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- Advances in Applied Probability / Volume 46 / Issue 2 / June 2014
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- 22 February 2016, pp. 325-347
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- June 2014
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Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes
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- Advances in Applied Probability / Volume 45 / Issue 3 / September 2013
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- 04 January 2016, pp. 791-821
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- September 2013
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SURE shrinkage of Gaussian paths and signal identification*
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- ESAIM: Probability and Statistics / Volume 15 / 2011
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- 05 January 2012, pp. 180-196
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- 2011
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Probabilistic methods for semilinearpartial differential equations.Applications to finance
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- ESAIM: Mathematical Modelling and Numerical Analysis / Volume 44 / Issue 5 / September 2010
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- 26 August 2010, pp. 1107-1133
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- September 2010
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Generalized fractional kinetic equations: another point of view
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- Advances in Applied Probability / Volume 41 / Issue 3 / September 2009
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- 01 July 2016, pp. 893-910
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- September 2009
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Malliavin differentiability of the Heston volatility and applications to option pricing
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- Advances in Applied Probability / Volume 40 / Issue 1 / March 2008
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- 01 July 2016, pp. 144-162
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- March 2008
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Analysis of the Rosenblatt process
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- ESAIM: Probability and Statistics / Volume 12 / 2008
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- 23 January 2008, pp. 230-257
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- 2008
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Integration by Parts for Point Processes and Monte Carlo Estimation
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- Journal of Applied Probability / Volume 44 / Issue 3 / September 2007
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- 14 July 2016, pp. 806-823
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- September 2007
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Positivity of the density for the stochasticwave equation in two spatial dimensions
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- ESAIM: Probability and Statistics / Volume 7 / March 2003
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- 15 May 2003, pp. 89-114
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- March 2003
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Uniqueness of invariant product measures for elliptic infinite dimensional diffusions and particle spin systems
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- ESAIM: Probability and Statistics / Volume 6 / 2002
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- 15 November 2002, pp. 147-155
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- 2002
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