Found 24 Documents (Results 1–24)
Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus. (English) Zbl 1486.60071
Lévy-Ito models in finance. (English) Zbl 1480.91286
Stochastic viscosity solutions for stochastic integral-partial differential equations. (English) Zbl 1460.35072
Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes. (English) Zbl 1436.93144
Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling. (English. French summary) Zbl 1462.60059
Reviewer: Nikolaos Halidias (Athína)
A note on the hedging of options by Malliavin calculus in a jump-diffusion market. (English) Zbl 1409.91233
Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. (English) Zbl 1354.91141
Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 465-499 (2016).
An extension of the Clark-Ocone formula under benchmark measure for Lévy processes. (English) Zbl 1262.60050
Reviewer: Jean Picard (Aubière)
Composition with distributions of Wiener-Poisson variables and its asymptotic expansion. (English) Zbl 1252.60051
Reviewer: Jean Picard (Aubière)
Poisson process Fock space representation, chaos expansion and covariance inequalities. (English) Zbl 1233.60026
Reviewer: Viktor Ohanyan (Erevan)
Martingale representation for Poisson processes with applications to minimal variance hedging. (English) Zbl 1219.60050
Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator. (English) Zbl 1231.47041
Reviewer: Anatoly N. Kochubei (Kyïv)
Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy market. (English) Zbl 1232.91678
The explicit chaotic representation of the powers of increments of Lévy processes. (English) Zbl 1205.60104
Reviewer: Johannes Muhle-Karbe (Zürich)
Clark-Ocone formula and variational representation for Poisson functionals. (English) Zbl 1179.60037
Reviewer: Jean Picard (Aubière)
MSC:
60H07
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility. (English) Zbl 1161.60324
On filtration enlargements and purely discontinuous martingales. (English) Zbl 1157.60038
Reviewer: Jean Picard (Aubière)
An anticipating calculus for square integrable pure jump Lévy processes. (English) Zbl 1141.60024
Reviewer: Rostyslav E. Yamnenko (Kyïv)
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