Journal Article
Estimation and Prediction of a Non-Constant Volatility
Vyacheslav M. Abramov and Fima C. Klebaner
Asia-Pacific Financial Markets, 2007, Volume 14, Numbers 1-2, Pages 1-23
Book Chapter
Incomplete Markets
Springer Finance, 2007, Financial Markets in Continuous Time, Pages 237-248
Journal Article
Consistent Variance Curve Models
Hans Buehler
Finance and Stochastics, 2006, Volume 10, Number 2, Pages 178-203
Journal Article
On the martingale property of certain local martingales
Aleksandar Mijatović and Mikhail Urusov
Probability Theory and Related Fields, 2012, Volume 152, Numbers 1-2, Pages 1-30
Book Chapter
A Special Family of Diffusions: Bessel Processes
Monique Jeanblanc, Marc Yor and Marc Chesney
Springer Finance, 2009, Mathematical Methods for Financial Markets, Part 1, Pages 333-403
Book Chapter
Natural Decomposition of Processes and Weak Dirichlet Processes
François Coquet, Adam Jakubowski, Jean Mémin and Leszek Słominski
Lecture Notes in Mathematics, 2006, Volume 1874, In Memoriam Paul-André Meyer, Pages 81-116
Book Chapter
Analysis on the Wiener space
David Nualart
Probability and Its Applications, 2006, The Malliavin Calculus and Related Topics, Pages 3-83
Journal Article
Backward stochastic partial differential equations related to utility maximization and hedging
M. Mania and R. Tevzadze
Journal of Mathematical Sciences, 2008, Volume 153, Number 3, Pages 291-380
Book Chapter
Extremal behavior of stochastic volatility models
Vicky Fasen, Claudia Klüppelberg and Alexander Lindner
2006, Stochastic Finance, Part I, Pages 107-155
Journal Article
Optimal robust mean-variance hedging in incomplete financial markets
N. Lazrieva and T. Toronjadze
Journal of Mathematical Sciences, 2008, Volume 153, Number 3, Pages 262-290