AbstractWe prove continuous dependence results for solution to the Cauchy problem related to degenerate parabolic equations arising in the valuation of financial derivatives. These results are crucial in some standard calibration procedure for recent stochastic volatility and interest rates models
We consider the Cauchy problem relate to a nonlinear degenerate partial differential equation. We gi...
AbstractConsider time-periodic solutions of u̇ − ▽ · γ(¦▽u¦) ▽u = |, where γ may have an initial int...
We derive a direct link between local and implied volatilities in the form of a quasilinear degenera...
AbstractWe prove continuous dependence results for solution to the Cauchy problem related to degener...
We present a general framework for deriving continuous dependence estimates for, possibly polynomial...
We present a general framework for deriving continuous dependence estimates for, possibly polynomial...
AbstractWe present a general framework for deriving continuous dependence estimates for, possibly po...
We study the influence of taking liquidity costs and market impact into account when hedging a conti...
Abstract We determine the continuous dependence of solution on the parameters in a Dirichlet-type in...
International audienceWe study the influence of taking liquidity costs and market impact into accoun...
summary:We consider the Cauchy problem for degenerate parabolic equations with variable coefficients...
In this paper we show that the American price of standard (bounded) options in the Black-Scholes one...
Summary. We study the numerical approximation of viscosity solutions for integro-differential, possi...
We propose the use of a classical tool in PDE theory, the parametrix method, to build approximate so...
none1noImpact factor: 1.153. Available online 26 November 2010A generalization of the Lèvy model for...
We consider the Cauchy problem relate to a nonlinear degenerate partial differential equation. We gi...
AbstractConsider time-periodic solutions of u̇ − ▽ · γ(¦▽u¦) ▽u = |, where γ may have an initial int...
We derive a direct link between local and implied volatilities in the form of a quasilinear degenera...
AbstractWe prove continuous dependence results for solution to the Cauchy problem related to degener...
We present a general framework for deriving continuous dependence estimates for, possibly polynomial...
We present a general framework for deriving continuous dependence estimates for, possibly polynomial...
AbstractWe present a general framework for deriving continuous dependence estimates for, possibly po...
We study the influence of taking liquidity costs and market impact into account when hedging a conti...
Abstract We determine the continuous dependence of solution on the parameters in a Dirichlet-type in...
International audienceWe study the influence of taking liquidity costs and market impact into accoun...
summary:We consider the Cauchy problem for degenerate parabolic equations with variable coefficients...
In this paper we show that the American price of standard (bounded) options in the Black-Scholes one...
Summary. We study the numerical approximation of viscosity solutions for integro-differential, possi...
We propose the use of a classical tool in PDE theory, the parametrix method, to build approximate so...
none1noImpact factor: 1.153. Available online 26 November 2010A generalization of the Lèvy model for...
We consider the Cauchy problem relate to a nonlinear degenerate partial differential equation. We gi...
AbstractConsider time-periodic solutions of u̇ − ▽ · γ(¦▽u¦) ▽u = |, where γ may have an initial int...
We derive a direct link between local and implied volatilities in the form of a quasilinear degenera...
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