Mathematical Methods for Financial Markets

By Monique Jeanblanc, Marc Yor, Marc Chesney. 2009

856 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/99648690d31ce3944d63147a187e1943bbfae86b

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Citations in the corpus

Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, neutral): “The following formulas can be found in books such as Borodin and Salminen (2002) and Jeanblanc et al. (2009).”
Exponential Utility Maximization in an Incomplete Market with Defaults (2011, background): “[14]) which is paramount in the sequel: Lemma 2.”
Carthaginian enlargement of filtrations (2011, background): “1(ii) of Jeanblanc, Yor and Chesney [7], for instance) the filtration G = F ∨H enjoys the PRP under P∗ with respect to the pair (z, M∗).”
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012, background): “• From a probabilistic point of view, since we compute the conditional law of the couple instead of the marginal ones, Theorem 3 extend both formulas (6.5.2) and (6.5.3) of Proposition 6.5.1.1 p. 373, stated for a ≥ 2, in Jeanblanc, Yor and Chesney [13].”
About the Pricing Equations in Finance (2011, background): “[66]), this implies the local martingale predictable representation property (146) for (Ft,P;Bt, t, t).”
Option pricing under hybrid stochastic and local volatility (2013, background): “The book of Jeanblanc et al. (2006) may serve as a general reference.”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “2See e.g. page 39 in Jeanblanc, Yor, and Chesney (2010).”
Drawdowns and the Speed of Market Crash (2012, methodology): “We finally discuss applications of our results in the pricing of insurance claims based on the drawdown and its speed under a drifted Brownian motion model and a constant elasticity of variance (CEV) model (see Jeanblanc et al. 2009).”
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, positive): “Given X(t), we note from [21] that XT e c(T − t) ∼ χ (2)(δ, α) , T > t ≥ 0 , where χ(2)(ν, β) denotes a non-central chi-squared random variable with ν degrees of freedom and non-centrality parameter β.”
Optimal stopping under probability distortion. (2011, background): “(15) (7)Indeed, in the context of utility theory both a probability distortion function and a utility function describe an investor’s preference towards risk - they do play some dual roles; see Yaari (1987).”
Prices and Asymptotics for Discrete Variance Swaps (2013, neutral): “15, page 341, Karatzas and Shreve (1991)).”