Introduction to Stochastic Calculus Applied to Finance

By Damien Lamberton, B. Lapeyre. 2007

380 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/bbcefdb1bd393df1628ae7c600c024437e72d4e7

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In Demography

1. Zenghu Li

In Finance

1. Zenghu Li
2. Chunhua Ma

Citations in the corpus

• Continuous-State Branching Processes with Immigration (2019, methodology): “ers in this model was studied by Overbeck and Ryde´n (1997); see also Li and Ma (2015). Applications of stochastic calculus to finance including those of the CIR-model were discussed systematically in Lamberton and Lapeyre (1996). A natural generalization of the CBI-process is the so-called affine Mar”
• No Arbitrage Without Semimartingales (2009, neutral): “5 of [13]) that for almost every ω ∈ Ω̃, E[1F (π1, π2)|F Ω̃ τ ](ω) = φ(π1ω), where the mapping φ : Ω1 → R is given by φ(ω1) := E[1A(ω1, π2)], φ1 ∈ Ω1.”