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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.

Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep — 2008

Journal of Applied Mathematics and Stochastic Analysis

Sur certaines relations entre les intégrales trajectorielles et l'opérateur de translation et son dual dans l'espace de Poisson canonique.

Jorge A. León; Josep L. Solé; Josep Vives — 2000

Publicacions Matemàtiques

We study the relationship between the translation operator, its dual and the pathwise integral on the Poisson space with weak conditions on the processes.

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