In financial and actuarial modeling and other areas of application, stochastic differential
equations with jumps have been employed to describe the dynamics of various state …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This book provides the reader with the principal concepts and results related to differential
properties of measures on infinite dimensional spaces. In the finite dimensional case such …

We build an equilibrium model to explain why stock return predictability concentrates in bad
times. The key feature is that investors use different forecasting models, and hence assess …

This paper reviews portfolio selection models and provides perspective on some open
issues. It starts with a review of the classic Markowitz mean-variance framework. It then …

This paper presents an equilibrium model in a pure exchange economy when investors
have three possible sources of heterogeneity. Investors may differ in their beliefs, in their …

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic
volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact …

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov
condition and give an explicit expression for the derivative. This result guarantees the …

I examine a continuous-time intertemporal consumption and portfolio choice problem under
ambiguity, where expected returns of a risky asset follow a hidden Markov chain. Investors …

In this article, we give a brief review of some recent results concerning the study of the Euler-
Maruyama scheme and its high-order extensions. These numerical schemes are used to …