Zobrazeno 1 - 10
of 99
pro vyhledávání: '"Caramellino, L."'
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 March 2024 531(2) Part 2
Publikováno v:
The Journal of Computational Finance 2017 Volume 21 Number 3 Pages 1-45
We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme
Externí odkaz:
http://arxiv.org/abs/1503.03705
Autor:
Bally, V., Caramellino, L.
Publikováno v:
Annals of Probability 2017, Vol. 45, No. 2, 1110-1159
In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with H\"{o}lder continuous coefficients. This is of course out of reach by using already class
Externí odkaz:
http://arxiv.org/abs/1409.3118
Autor:
Bally, V., Caramellino, L.
Publikováno v:
Annals of Probability, 45, 1488--1511, 2017
We study the local existence and regularity of the density of the law of a functional on the Wiener space which satisfies a criterion that generalizes the H\"ormander condition of order one (that is, involving the first order Lie brackets) for diffus
Externí odkaz:
http://arxiv.org/abs/1307.3942
Autor:
Bally, V., Caramellino, L.
Publikováno v:
Potential Analysis 39, 141-168, 2013
We consider a functional on the Wiener space which is smooth and not degenerated in Malliavin sense and we give a criterion of strict positivity of the density. We also give lower bounds for the density. These results are based on the representation
Externí odkaz:
http://arxiv.org/abs/1004.5269
Autor:
Caramellino, L., Pacchiarotti, B.
Publikováno v:
Advances in Applied Probability, 40, 424-453, 2008
The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are con
Externí odkaz:
http://arxiv.org/abs/math/0702573
Publikováno v:
Electronic Journal of Probability
Electronic Journal of Probability, 2022, 27, ⟨10.1214/22-ejp785⟩
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2022, 27, ⟨10.1214/22-ejp785⟩
Electronic Journal of Probability, 2022, 27, ⟨10.1214/22-ejp785⟩
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2022, 27, ⟨10.1214/22-ejp785⟩
International audience; In order to study the regularity of the density of a solution of a infinite activity jump driven stochastic differential equation we consider the following two-step approximation method. First, we use the solution of the momen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::58f70a2a9b909b76b5b7202986353afd
https://hal.science/hal-03808176/document
https://hal.science/hal-03808176/document
Akademický článek
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Publikováno v:
Birkhäuser, 2016, Advanced Courses in Mathematics-CRM Barcelona
Advanced Courses in Mathematics-CRM Barcelona ISBN: 9783319271279
Advanced Courses in Mathematics-CRM Barcelona ISBN: 9783319271279
This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative fun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19fe4459330ad39dfa2172a34c85d44e
https://doi.org/10.1007/978-3-319-27128-6
https://doi.org/10.1007/978-3-319-27128-6