Concepedia

On stochastic integration for volatility modulated Lévy-driven Volterra processes

Ole E. Barndorff–Nielsen, Fred Espen Benth, Jan Skov Pedersen, Almut E. D. Veraart

Stochastic Processes and their Applications · 2013 · 26 citations · 29 references

Open access

Concepts

EngineeringFinanceMathematicsFinancial EconomicsProbability TheoryStochastic ProcessesBrownian MotionLévy ProcessesStochastic CalculusStochastic Differential EquationsStochastic VolatilityVolatility ModelingLévy - Itô DecompositionLévy-driven Stochastic Differential EquationsLévy-itô DecompositionStochastic IntegrationStochastic Volatility Models

References

29

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

Stochastic Calculus with Respect to Gaussian Processes

Elisa Alòs, Olivier Mazet, David Nualart · The Annals of Probability · 2001 · 551 citations · Full text

Engineering, Mathematics, Physics +11

Spectral representations of infinitely divisible processes

Balram S. Rajput, J. Rosiński · Probability Theory and Related Fields · 1989 · 438 citations · Full text

Natural Sciences, Mathematics, Probability Theory +12

Stochastic integration with respect to fractional brownian motion

Philippe Carmona · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 2003 · 247 citations

Engineering, Mathematics, Probability Theory +14

Dynamical pricing of weather derivatives

Dorje C. Brody, Joanna Syroka, Mihail Zervos · Quantitative Finance · 2002 · 227 citations

Business, Economics, Finance +17