Pricing CIR Yield Options by Conditional Moment Matching.
- Published in:
- Asia-Pacific Financial Markets, 2017, v. 24, n. 1, p. 19, doi. 10.1007/s10690-017-9222-5
- By:
- Publication type:
- Article
Works by Privault, Nicolas
Results: 49
1
2
A q-binomial extension of the CRR asset pricing model.
- Published in:
- Stochastic Models, 2023, v. 39, n. 4, p. 772, doi. 10.1080/15326349.2023.2173231
- By:
- Publication type:
- Article
3
Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls.
- Published in:
- Communications on Pure & Applied Analysis, 2023, v. 22, n. 8, p. 1, doi. 10.3934/cpaa.2023081
- By:
- Publication type:
- Article
4
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups.
- Published in:
- Quantitative Finance, 2016, v. 16, n. 1, p. 119, doi. 10.1080/14697688.2014.990497
- By:
- Publication type:
- Article
5
Convex concentration for some additive functionals of jump stochastic differential equations.
- Published in:
- Acta Mathematica Sinica, 2013, v. 29, n. 8, p. 1449, doi. 10.1007/s10114-013-2635-9
- By:
- Publication type:
- Article
6
A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS.
- Published in:
- Analysis & Applications, 2010, v. 8, n. 3, p. 287, doi. 10.1142/S0219530510001655
- By:
- Publication type:
- Article
7
Conditional Calculus on Poisson Space and Enlargement of Filtration.
- Published in:
- Stochastic Analysis & Applications, 2003, v. 21, n. 1, p. 183, doi. 10.1081/SAP-120017538
- By:
- Publication type:
- Article
8
Numerical computation of Theta in a jump-diffusion model by integration by parts.
- Published in:
- Quantitative Finance, 2009, v. 9, n. 6, p. 727, doi. 10.1080/14697680902814191
- By:
- Publication type:
- Article
9
A STOCHASTIC NEWSVENDOR GAME WITH DYNAMIC RETAIL PRICES.
- Published in:
- Journal of Industrial & Management Optimization, 2018, v. 14, n. 2, p. 731, doi. 10.3934/jimo.2017072
- By:
- Publication type:
- Article
10
Stochastic SIR Lévy Jump Model with Heavy-Tailed Increments.
- Published in:
- Journal of Nonlinear Science, 2021, v. 31, n. 1, p. 1, doi. 10.1007/s00332-020-09670-5
- By:
- Publication type:
- Article
11
Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram–Charlier expansions.
- Published in:
- Biological Cybernetics, 2020, v. 114, n. 4/5, p. 499, doi. 10.1007/s00422-020-00844-8
- By:
- Publication type:
- Article
12
Skorokhod and pathwise stochastic calculus with respect to an L[sup2] process.
- Published in:
- Random Operators & Stochastic Equations, 2000, v. 8, n. 3, p. 201, doi. 10.1515/rose.2000.8.3.201
- By:
- Publication type:
- Article
13
Equivalence of gradients on configuration spaces.
- Published in:
- Random Operators & Stochastic Equations, 1999, v. 7, n. 3, p. 241, doi. 10.1515/rose.1999.7.3.241
- By:
- Publication type:
- Article
14
Cournot Games with Limited Demand: From Multiple Equilibria to Stochastic Equilibrium.
- Published in:
- Applied Mathematics & Optimization, 2020, v. 81, n. 1, p. 195, doi. 10.1007/s00245-018-9481-1
- By:
- Publication type:
- Article
15
Dimension Free and Infinite Variance Tail Estimates on Poisson Space.
- Published in:
- Acta Applicandae Mathematicae, 2007, v. 95, n. 3, p. 151, doi. 10.1007/s10440-007-9084-3
- By:
- Publication type:
- Article
16
Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model.
- Published in:
- Methodology & Computing in Applied Probability, 2024, v. 26, n. 4, p. 1, doi. 10.1007/s11009-024-10115-9
- By:
- Publication type:
- Article
17
Computation of Coverage Probabilities in a Spherical Germ-Grain Model.
- Published in:
- Methodology & Computing in Applied Probability, 2021, v. 23, n. 2, p. 491, doi. 10.1007/s11009-019-09741-5
- By:
- Publication type:
- Article
18
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models.
- Published in:
- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 369, doi. 10.1007/s11009-017-9558-3
- By:
- Publication type:
- Article
19
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals.
- Published in:
- Methodology & Computing in Applied Probability, 2013, v. 15, n. 3, p. 511, doi. 10.1007/s11009-011-9261-8
- By:
- Publication type:
- Article
20
Second-order multi-object filtering with target interaction using determinantal point processes.
- Published in:
- Mathematics of Control, Signals & Systems, 2020, v. 32, n. 4, p. 569, doi. 10.1007/s00498-020-00271-x
- By:
- Publication type:
- Article
21
Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2018, v. 15, p. 1141, doi. 10.30757/ALEA.v15-42
- By:
- Publication type:
- Article
22
The Stein and Chen-Stein Methods for Functionals of Non-Symmetric Bernoulli Processes.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2015, v. 12, p. 309
- By:
- Publication type:
- Article
23
THE DOTHAN PRICING MODEL REVISITED.
- Published in:
- Mathematical Finance, 2011, v. 21, n. 2, p. 355, doi. 10.1111/j.1467-9965.2010.00434.x
- By:
- Publication type:
- Article
24
Moments of k -hop counts in the random-connection model.
- Published in:
- Journal of Applied Probability, 2019, v. 56, n. 4, p. 1106, doi. 10.1017/jpr.2019.63
- By:
- Publication type:
- Article
25
INTEGRATION BY PARTS FOR POINT PROCESSES AND MONTE CARLO ESTIMATION.
- Published in:
- Journal of Applied Probability, 2007, v. 44, n. 3, p. 806, doi. 10.1239/jap/1189717546
- By:
- Publication type:
- Article
26
Closed form modeling of evolutionary rates by exponential Brownian functionals.
- Published in:
- Journal of Mathematical Biology, 2015, v. 71, n. 6/7, p. 1387, doi. 10.1007/s00285-015-0863-6
- By:
- Publication type:
- Article
27
Cardinality estimation for random stopping sets based on Poisson point processes.
- Published in:
- ESAIM: Probability & Statistics, 2021, v. 25, p. 87, doi. 10.1051/ps/2021004
- By:
- Publication type:
- Article
28
CARDINALITY ESTIMATION FOR RANDOM STOPPING SETS BASED ON POISSON POINT PROCESSES.
- Published in:
- ESAIM: Probability & Statistics, 2021, v. 25, p. 87, doi. 10.1051/ps/2021004
- By:
- Publication type:
- Article
29
POISSON SPHERE COUNTING PROCESSES WITH RANDOM RADII.
- Published in:
- ESAIM: Probability & Statistics, 2016, v. 20, p. 417, doi. 10.1051/ps/2016021
- By:
- Publication type:
- Article
30
Stochastic ordering by g-expectations.
- Published in:
- Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 1, p. 61, doi. 10.3934/puqr.2021004
- By:
- Publication type:
- Article
31
Normal approximation for generalized U-statistics and weighted random graphs.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2022, v. 94, n. 3, p. 432, doi. 10.1080/17442508.2021.1959583
- By:
- Publication type:
- Article
32
Mixing of Poisson random measures under interacting transformations.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2016, v. 88, n. 3, p. 321, doi. 10.1080/17442508.2015.1066377
- By:
- Publication type:
- Article
33
Convex comparison inequalities for non-Markovian stochastic integrals.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2013, v. 85, n. 5, p. 789, doi. 10.1080/17442508.2012.659666
- By:
- Publication type:
- Article
34
Deviation inequalities and the law of iterated logarithm on the path space over a loop group.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2005, v. 77, n. 6, p. 515, doi. 10.1080/17442500500412399
- By:
- Publication type:
- Article
35
Characterization of stochastic equilibrium controls by the Malliavin calculus.
- Published in:
- Stochastics & Dynamics, 2022, v. 22, n. 1, p. 1, doi. 10.1142/S0219493721500544
- By:
- Publication type:
- Article
36
An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis.
- Published in:
- Stochastic Analysis & Applications, 2017, v. 35, n. 5, p. 919, doi. 10.1080/07362994.2017.1339613
- By:
- Publication type:
- Article
37
Extended Mellin integral representations for the absolute value of the gamma function.
- Published in:
- Analysis (0174-4747), 2018, v. 38, n. 1, p. 11, doi. 10.1515/anly-2017-0046
- By:
- Publication type:
- Article
38
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING.
- Published in:
- Astin Bulletin, 2018, v. 48, n. 1, p. 171, doi. 10.1017/asb.2017.33
- By:
- Publication type:
- Article
39
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 6, p. 597, doi. 10.1142/S0219024908004944
- By:
- Publication type:
- Article
40
RANDOM HERMITE POLYNOMIALS AND GIRSANOV IDENTITIES ON THE WIENER SPACE.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2010, v. 13, n. 4, p. 663, doi. 10.1142/S0219025710004218
- By:
- Publication type:
- Article
41
QUASI-INVARIANCE FORMULAS FOR COMPONENTS OF QUANTUM LÉVY PROCESSES.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2004, v. 7, n. 1, p. 131, doi. 10.1142/S0219025704001499
- By:
- Publication type:
- Article
42
Splitting of Poisson Noise and Lévy Processes on Real Lie Algebras.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2002, v. 5, n. 1, p. 21, doi. 10.1142/S0219025702000699
- By:
- Publication type:
- Article
43
Computations of Greeks in a market with jumps via the Malliavin calculus.
- Published in:
- Finance & Stochastics, 2004, v. 8, n. 2, p. 161, doi. 10.1007/s00780-003-0111-6
- By:
- Publication type:
- Article
44
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance.
- Published in:
- Finance & Stochastics, 2000, v. 4, n. 4, p. 465, doi. 10.1007/PL00013528
- By:
- Publication type:
- Article
45
Moments of Markovian growth–collapse processes.
- Published in:
- Advances in Applied Probability, 2022, v. 54, n. 4, p. 1070, doi. 10.1017/apr.2021.63
- By:
- Publication type:
- Article
46
LAPLACE TRANSFORM IDENTITIES FOR THE VOLUME OF STOPPING SETS BASED ON POISSON POINT PROCESSES.
- Published in:
- Advances in Applied Probability, 2015, v. 47, n. 4, p. 919, doi. 10.1239/aap/1449859794
- By:
- Publication type:
- Article
47
G-EXPECTATION APPROACH TO STOCHASTIC ORDERING.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 3, p. 343, doi. 10.3934/fmf.2021012
- By:
- Publication type:
- Article
48
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 3, p. -1, doi. 10.1142/S0219024917500182
- By:
- Publication type:
- Article
49
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2016, v. 19, n. 2, p. -1, doi. 10.1142/S0219025716500107
- By:
- Publication type:
- Article