A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Sur certaines relations entre les intégrales trajectorielles et l'opérateur de translation et son dual dans l'espace de Poisson canonique.
We study the relationship between the translation operator, its dual and the pathwise integral on the Poisson space with weak conditions on the processes.
Page 1