Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications
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9783030222840, 9783030222857

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On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_3 ◽

2019 ◽

pp. 89-107

Author(s):

Philippe Briand ◽

Adrien Richou

Keyword(s):

Uniqueness Of Solutions

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An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_4 ◽

2019 ◽

pp. 109-121 ◽

Cited By ~ 1

Author(s):

Antonella Calzolari ◽

Barbara Torti

Keyword(s):

Random Time ◽

Martingale Representation ◽

Progressive Enlargement

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On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_1 ◽

2019 ◽

pp. 1-41

Author(s):

Dirk Becherer ◽

Martin Büttner ◽

Klebert Kentia

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Path-Dependent SDEs in Hilbert Spaces

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_9 ◽

2019 ◽

pp. 261-300 ◽

Cited By ~ 1

Author(s):

Mauro Rosestolato

Keyword(s):

Hilbert Spaces ◽

Path Dependent

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European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_5 ◽

2019 ◽

pp. 123-167

Author(s):

Samuel N. Cohen ◽

Martin Tegnér

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Parameter Uncertainty ◽

European Option ◽

Stochastic Volatility Models ◽

European Option Pricing ◽

Volatility Models

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BSDEs and Enlargement of Filtration

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_7 ◽

2019 ◽

pp. 201-220

Author(s):

Monique Jeanblanc ◽

Dongli Wu

Keyword(s):

Enlargement Of Filtration

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An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_8 ◽

2019 ◽

pp. 221-260

Author(s):

Gonçalo dos Reis ◽

Greig Smith

Keyword(s):

Stochastic Representation

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Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_6 ◽

2019 ◽

pp. 169-199

Author(s):

Nicole El Karoui ◽

Caroline Hillairet ◽

Mohamed Mrad

Keyword(s):

Pareto Optimality ◽

Yield Curve ◽

Curve Modeling

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On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications ◽

10.1007/978-3-030-22285-7_2 ◽

2019 ◽

pp. 43-87

Author(s):

Mireille Bossy ◽

Jean-François Jabir

Keyword(s):

Diffusion Coefficient ◽

Singular Diffusion

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Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their ApplicationsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer International Publishing

On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators

An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples

Path-Dependent SDEs in Hilbert Spaces

European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty

BSDEs and Enlargement of Filtration

An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example

Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient

Springer Proceedings in Mathematics & Statistics - Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications
Latest Publications