[图书][B] Functionals of multidimensional diffusions with applications to finance
J Baldeaux, E Platen - 2013 - books.google.com
This research monograph provides an introduction to tractable multidimensional diffusion
models, where transition densities, Laplace transforms, Fourier transforms, fundamental …
models, where transition densities, Laplace transforms, Fourier transforms, fundamental …
Discretely sampled variance and volatility swaps versus their continuous approximations
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price
these swaps, the continuously sampled approximation is often used to simplify the …
these swaps, the continuously sampled approximation is often used to simplify the …
Pricing currency derivatives under the benchmark approach
J Baldeaux, M Grasselli, E Platen - Journal of Banking & Finance, 2015 - Elsevier
This paper considers the realistic modelling of derivative contracts on exchange rates. We
propose a stochastic volatility model that recovers not only the typically observed implied …
propose a stochastic volatility model that recovers not only the typically observed implied …
[HTML][HTML] Semimartingales and contemporary issues in quantitative finance
Y Kchia - 2011 - theses.hal.science
In this thesis, we study various contemporary issues in quantitative finance. The first chapter
is dedicated to the stability of the semimartingale property under filtration expansion. We …
is dedicated to the stability of the semimartingale property under filtration expansion. We …
Pricing Using Affine Diffusions
J Baldeaux, E Platen, J Baldeaux, E Platen - … Diffusions with Applications …, 2013 - Springer
Chapter 8 applies the theory developed in Chap. 7 to some concrete examples with the aim
of illustrating these techniques in detail so that readers can apply them to their fields of …
of illustrating these techniques in detail so that readers can apply them to their fields of …
Affine Diffusion Processes on the Euclidean Space
J Baldeaux, E Platen, J Baldeaux, E Platen - … Diffusions with Applications …, 2013 - Springer
In this chapter, we discuss affine process, a class of processes that has recently received
much attention in the literature. Recalling that the underlying theme of this book is the …
much attention in the literature. Recalling that the underlying theme of this book is the …
Bocconi & Springer Series
Diffusion processes can be employed to model many phenomena arising in the natural and
social sciences, such as biological and financial quantities. When modeling these …
social sciences, such as biological and financial quantities. When modeling these …
The small and large time implied volatilities in the minimal market model
ZJ Guo, E Platen - International Journal of Theoretical and Applied …, 2012 - World Scientific
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL
Page 1 International Journal of Theoretical and Applied Finance Vol. 15, No. 8 (2012) 1250057 …
Page 1 International Journal of Theoretical and Applied Finance Vol. 15, No. 8 (2012) 1250057 …