From Stochastic Calculus to Mathematical Finance

By Yuri M. Kabanov, Robert Sh. Liptser, Jordan Stoyanov. 2006

140 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c6c1c4e799841d2d207a0cbee9593906e9ac0d81

How researchers see this paper

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

In Finance

1. Mark Podolskij
2. José Manuel Corcuera
3. Ole E. Barndorff-Nielsen
4. V. Todorov
5. N. Shephard
6. Isaac M. Sonin
7. Mathias Vetter
8. Andrew J. Patton

Citations in the corpus

• Multipower Variation for Brownian Semistationary Processes (2011, background): “We immediately deduce that Theorem 4 holds if p≥ 1: γ > 1 2 , δ ∈ ( −1 2 ,0 ) , 1 2 < p< 1: γ > 1 2p , δ ∈ ( −1 2 , p− 1 2p ) .”
• A generalized Gittins index for a Markov chain and its recursive calculation (2008, methodology): “This model was generalized in the papers of Granot and Zuckerman (1991), Denardo et al. (2004), and Presman and Sonin (2006).”