Pages that link to "Item:Q1067301"

The following pages link to Mimicking the one-dimensional marginal distributions of processes having an Ito differential (Q1067301):

Displaying 50 items.

• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes (Q2944909) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS (Q3005959) (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258) (← links)
• On Stochastic Differential Equations with Locally Unbounded Drift (Q3151360) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• SMILE MODELING IN COMMODITY MARKETS (Q3304207) (← links)
• (Q3451318) (← links)
• The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments (Q4555094) (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
• Quantification of coarse-graining error in Langevin and overdamped Langevin dynamics (Q4583369) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• From local volatility to local Lévy models (Q4610266) (← links)
• DUPIRE'S EQUATION FOR BUBBLES (Q4649504) (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
• RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515) (← links)
• Low-Dimensional Approximations of High-Dimensional Asset Price Models (Q4990516) (← links)
• Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128) (← links)
• A forward equation for barrier options under the Brunick & Shreve Markovian projection (Q5001174) (← links)
• Recovering the real-world density and liquidity premia from option data (Q5001196) (← links)
• REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS (Q5010065) (← links)
• Effective stochastic volatility: applications to ZABR-type models (Q5014218) (← links)
• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient (Q5038290) (← links)
• Effective Markovian projection: application to CMS spread options and mid-curve swaptions (Q5079407) (← links)
• Stochastic Control of Optimized Certainty Equivalents (Q5097215) (← links)
• Ergodic SDEs on submanifolds and related numerical sampling schemes (Q5110268) (← links)
• Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures (Q5112529) (← links)
• Coarse Graining of Nonreversible Stochastic Differential Equations: Quantitative Results and Connections to Averaging (Q5119982) (← links)
• Inversion of convex ordering in the VIX market (Q5139256) (← links)
• MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (Q5193007) (← links)
• Pathwise Estimates for Effective Dynamics: The Case of Nonlinear Vectorial Reaction Coordinates (Q5197639) (← links)
• Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
• Effective dynamics for non-reversible stochastic differential equations: a quantitative study (Q5240865) (← links)
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241) (← links)
• Root to Kellerer (Q5270093) (← links)
• Limit Theory for Controlled McKean--Vlasov Dynamics (Q5346511) (← links)
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
• MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS (Q5414168) (← links)
• Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482) (← links)
• Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
• Laplacian Smoothing Stochastic Gradient Markov Chain Monte Carlo (Q5856684) (← links)
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352) (← links)
• Calibration of local‐stochastic volatility models by optimal transport (Q6054403) (← links)
• Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
• Marginal dynamics of interacting diffusions on unimodular Galton-Watson trees (Q6070367) (← links)