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Functionals of Multidimensional Diffusions with Applications to Finance
Jan Baldeaux ; Eckhard Platen ; Jan Baldeaux ; et al.
Bocconi & Springer Series ISBN: 9783319007465

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3

Functionals of multidimensional diffusions with applications to Finance
Baldeaux, J ; Platen, E ; Baldeaux, J ; et al.

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4

Semi-analytic solutions of nonlinear multidimensional fractional differential equations
Monica Botros ; E. A. A. Ziada ; I. L. El‐Kalla
Mathematical Biosciences and Engineering, Vol 19, Iss 12, Pp 13306-13320 (2022)

Decomposition method (qu... Economics 01 natural sciences Convolution (computer sc... Differential equation Numerical Methods for Si... …
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5

On the Existence and Uniqueness of Solutions for Multidimensional Fractional Stochastic Differential Equations with Variable Order
Seyfeddine Moualkia ; Yong Xu
Mathematics, Vol 9, Iss 17, p 2106 (2021)
Mathematics
Volume 9
Issue 17

Fractional Differential... Economics Stochastic partial diffe... Theory and Applications... Mathematical analysis 01 natural sciences …
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6

Applications of Malliavin calculus to Monte Carlo methods in finance.
Fournié, Eric ; Lasry, Jean-Michel ; Lebuchoux, Jérôme ; et al.
Finance & Stochastics. 1999, Vol. 3 Issue 4, p391. 22p.

FINANCE MONTE Carlo method MALLIAVIN calculus PERTURBATION theory DIFFUSION processes
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7

Functional Quantization Rate and Mean Regularity of Processes with an Application to Lévy Processes
Luschgy, Harald ; Pagès, Gilles
The Annals of Applied Probability, 2008 Apr 01. 18(2), 427-469.

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8

Stochastic expansion for the diffusion processes and applications to option pricing
Développement stochastique pour les processus de diffusion et applications à la valorisation d'options
Bompis, Romain ; Centre de Mathématiques Appliquées de l'Ecole polytechnique (CMAP) ; Institut National de Recherche en Informatique et en Automatique (Inria)-École polytechnique (X) ; et al.
Probability [math.PR]. Ecole Polytechnique X, 2013. English. ⟨NNT : ⟩

local volatility model stochastic volatility hitting time barrier option partial differential equ... Malliavin calculus …
Dissertation
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9

zbMATH Open Web Interface contents unavailable due to conflicting licenses.
zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Stopping times optimal stopping problem... gambling theory Stability of difference... Canonical forms, reducti... Deterministic scheduling... …
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10

Telegraph Processes and Option Pricing, Second Edition
Ratanov, N. ; Kolesnik, A.D.
Telegraph Processes and Option Pricing, Second Edition

Black-Scholes-Merton mod... Option pricing Multidimensional telegra... Piecewise deterministic... telegraph process Jump-telegraph-diffusion... …
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11

zbMATH Open Web Interface contents unavailable due to conflicting licenses.
zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Generalized linear model... Data structures Stability of difference... Turbulent transport, mix... Deterministic scheduling... Combustion …
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12

Applications of Malliavin calculus to Monte Carlo methods in finance
Eric Fournié ; Jean-Michel Lasry ; Pierre-Louis Lions ; et al.
Springer, Finance and Stochastics. 3(4):391-412

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13

Affine Diffusion Processes on the Euclidean Space
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p181-198.

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14

Functionals of Squared Bessel Processes
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p65-99.

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15

Functionals of Wiener Processes
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p23-63.

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16

Central limit theorem for the antithetic multilevel Monte Carlo method
Ben Alaya, Mohamed ; Kebaier, Ahmed ; Ngo, Thi Bao Tram ; et al.
The Annals of Applied Probability. 32

[MATH.MATH-PR]Mathematic... [MATH.MATH-PR] Mathemati... [QFIN.CP] Quantitative F... 4. Education Probability (math.PR) FOS: Mathematics …
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17

Time-Homogeneous Scalar Diffusions
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p389-395.

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18

Pricing Using Affine Diffusions
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p199-217.

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19

A Benchmark Approach to Risk Management
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p1-21.

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20

Monte Carlo and Quasi-Monte Carlo Methods
Functionals of Multidimensional Diffusions with Applications to Finance. 2013, p299-322.

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