المنشورات و المؤلفات
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of $L^p$ (p ≥ 2)-...
We establish a Krylov's type estimate and an Itô-Krylov's change of variable formula for the solutions of one-dimensional quadratic backward stochastic differential equations (QBSDEs) with a measurable generator and an arbitrary terminal datum. This...
The purpose of this article is to give a closed Fourier-based valuation
formula for a caplet in the framework of the Lévy forward process model which was
introduced in Eberlein and Özkan (2005) [8]. Afterwards, we compute Greeks by
two approaches...
The aim of this paper is to compute Greeks, i.e. price sensitivities in the framework of
the Lévy LIBOR model (LLM) which was introduced in Eberlein and Özkan (2005). Two approaches
are discussed. The first approach is based on the integration–by–...