Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
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- Tomas Björk & Lars Svensson, 2001.
"On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models,"
Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 205-243, April.
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- Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
- Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
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- Albeverio, Sergio & Mastrogiacomo, Elisa & Smii, Boubaker, 2013. "Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2084-2109.
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