Stochastic Calculus for Finance II: Continuous-Time Models

By Steven E. Shreve. 2010

1,451 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b46dc46fdfe55811d9ed350fc44ddb289fdba68c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, unknown): “(7.3.20), p. 307, in Shreve, 2004).”
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017, unknown): “The following theorem can be considered as a Večeřtype theorem (see Shreve 2004; Večeř 2002; Večeř and Xu 2004) for the variance swap.”
Delta–Gamma hedging of mortality and interest rate risk (2012, background): “The HJM condition is a characterizing feature of some models for interest rates such as Vasicek (1977), Hull and White (1990), CIR (Cox, Ingersoll, and Ross (1985)).”
Cognitive Control (2012, unknown): “They also emphasized the role of task-related feedback as opposed to response-oriented feedback and tried to develop 1 A nonempty subset of the power set of a nonempty set is a (cid:2) -algebra if it includes the empty set and it is closed under complementation and countable unions [37].”
Handbook of Financial Engineering (2011, background): “, z ∗ k) is an optimal solution of (49).”
A trajectorial interpretation of Doob's martingale inequalities (2012, background): “[19], Chapter 5, for an introductory survey on risk-neutral pricing.”
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (2010, background): “This term ensures the existence of martingales, under the domestic-spot measure, for the following prices (for more discussion, see Shreve ( 2004 )):”
Scalable Gradients for Stochastic Differential Equations (2020, background): “allele frequencies in a gene pool [14], or prices in a market [76].”
Mortality surface by means of continuous time cohort models (2013, background): “It is well known that – keeping the same filtration – the vector W(t) of correlated Brownian motions can be transformed into a vector of uncorrelated ones, Z(t), as follows (see for instance Shreve (2004), Section 4.”