Continuous Time Finance

By Robert Buff. 2002

689 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0b05075bd235ce4f0f0e715c486ab9a874f4f3fe

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Citations in the corpus

New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007, positive): “(See Annex for more details including extensions of the Merton Model.)”
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy (2004, methodology): “This research is supported by NSF Grant 9705017 Keywords: Dividends pay-out, proportional reinsurance, diffusion models, Stochastic Control Theory, HJB equation, singular control, Black-Scholes market.”
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, methodology): “Continuous time models have provided a convenient mathematical framework for the development of financial economic theory (e.g., Merton, 1990), asset pricing, and the modern field of mathematical finance that relies heavily on stochastic processes (Karatzas and Shreve, 2003).”
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (2014, neutral): “Those models have either allowed the volatility to evolve stochastically, such as the Heston model [8], or added jumps to the process of underlying price, such as the Press model [18], Merton’s jump diﬀusion model [16], and so on.”
Fractional calculus and continuous-time finance (2000, methodology): “For this reason, the results of Mandelbrot were well-known but not much used in mainstream quantitative finance [4].”
How User Innovations Become Commercial Products: A Theoretical Investigation and Case Study (2006, background): “We concluded that the rodeo kayaking industry was an appropriate test case to use in constructing a model of how user innovations become commercial products.”
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2010, neutral): “This model in financial economics traces its roots back to Bachelier (1900), Osborne (1959), Cootner (1964), Samuelson (1965), and Mandelbrot (1966) among others; the current paradigm was introduced and formalized using modern stochastic analysis by Merton in a series of fundamental contributions in”
Asymptotic nonequivalence of GARCH models and di?usions (2002, background): “[(See Dothan (1990), Duffie (1992), Harrison and Kreps (1979), Harrison and Pliska (1981), Hull and White (1987), Ikeda and Watanabe (1989), Karatzas and Shreve (1991), Merton (1990) and Stroock and Varadhan (1979).]”
Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2000, methodology): “The investment opportunity set is then constant, and the problem has a simple closed form solution as given in Ingersoll (1986) or Merton (1990).”
The Surprise Element: Jumps in Interest Rates (2002, neutral): “This discussion parallels an alternative derivation in more generality in Ch3 of Merton [68].”