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  • Search: subject:"Clark–Ocone formula"
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Year of publication
Subject
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Clark–Ocone formula 5 Calculus via regularization 2 Clark-Ocone formula 2 Discrete-time Clark-Ocone formula 2 Infinite dimensional analysis 2 Itô formula 2 Kolmogorov equation 2 Malliavin calculus 2 Option pricing theory 2 Optionspreistheorie 2 Quadratic variation 2 Stationary Poisson point processes 2 Stochastic partial differential equations 2 Stochastic process 2 Stochastischer Prozess 2 Asian options 1 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Dirichlet processes 1 Dynamic bond portfolio problem 1 Enlargement of filtration 1 FBSDE 1 Hedging 1 Hedging Error 1 Hedging error 1 Incomplete market 1 Incomplete markets 1 Large investor 1 Lévy processes 1 Malliavin derivative 1 Martingale method 1 Multi-factor affine term structure model 1 Option trading 1 Optionsgeschäft 1 Ornstein–Uhlenbeck process 1 Pareto allocation 1 Price impact 1 Sobolev embedding 1
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Online availability
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Undetermined 5 Free 2
Type of publication
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Article 7 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 6 English 3
Author
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Amaba, Takafumi 2 Fabbri, Giorgio 2 Russo, Francesco 2 ABUTALEB, AHMED 1 Arai, Takuji 1 Bank, Peter 1 Eyraud-Loisel, Anne 1 Girolami, Cristina 1 Girolami, Cristina Di 1 Kramkov, Dmitry 1 Nakayama, Keita 1 PAPAIOANNOU, MICHAEL G. 1 Suzuki, Ryoichi 1 Takahashi, Akihiko 1
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Institution
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Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne 1 HAL 1
Published in...
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Asia-Pacific Financial Markets 2 Asia-Pacific financial markets 1 Documents de recherche 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 Metrika 1 Stochastic Processes and their Applications 1 Working Papers / HAL 1
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Source
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RePEc 7 ECONIS (ZBW) 2
Showing 1 - 9 of 9
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The covariation for Banach space valued processes and applications
Girolami, Cristina Di; Fabbri, Giorgio; Russo, Francesco - Centre d'Études des Politiques Économiques (EPEE), … - 2013
Banach spaces. Two main applications are mentioned: one related to Clark-Ocone formula for finite quadratic variation …
Persistent link: https://www.econbiz.de/10010640911
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Quadratic hedging in an incomplete market derived by an influent informed investor
Eyraud-Loisel, Anne - HAL - 2009
incomplete to the non informed agent. The obtained results, by means of Malliavin calculus and Clark-Ocone Formula, as well as …
Persistent link: https://www.econbiz.de/10008793934
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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A Discrete-Time Clark-Ocone Formula for Poisson Functionals
Amaba, Takafumi - In: Asia-Pacific Financial Markets 21 (2014) 2, pp. 97-120
In this paper, we establish a discrete-time version of Clark(-Ocone-Haussmann) formula for Poisson functionals. The formula is applied to the estimation of “hedging error”. Copyright Springer Japan 2014
Persistent link: https://www.econbiz.de/10010989071
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The covariation for Banach space valued processes and applications
Girolami, Cristina; Fabbri, Giorgio; Russo, Francesco - In: Metrika 77 (2014) 1, pp. 51-104
regularization in Banach spaces. Two main applications are mentioned: one related to Clark–Ocone formula for finite quadratic …
Persistent link: https://www.econbiz.de/10010995118
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A discrete-time Clark-Ocone formula for Poisson functionals
Amaba, Takafumi - In: Asia-Pacific financial markets 21 (2014) 2, pp. 97-120
Persistent link: https://www.econbiz.de/10010358455
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On a stochastic differential equation arising in a price impact model
Bank, Peter; Kramkov, Dmitry - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1160-1175
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed by Bank and Kramkov (2011) [1,2]. These conditions are stated as smoothness and boundedness requirements on utility functions or...
Persistent link: https://www.econbiz.de/10011065130
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MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
ABUTALEB, AHMED; PAPAIOANNOU, MICHAEL G. - In: International Journal of Theoretical and Applied … 10 (2007) 05, pp. 771-800
that appear in linear regression models, and the generalized Clark–Ocone formula to derive a closed-form solution for the …
Persistent link: https://www.econbiz.de/10005080463
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A Factor Allocation Approach to Optimal Bond Portfolio
Nakayama, Keita; Takahashi, Akihiko - In: Asia-Pacific Financial Markets 14 (2007) 4, pp. 299-324
Persistent link: https://www.econbiz.de/10005727020
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