Aase, K., Øksendal, B., Privault, N., Ubøe, J.: White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Finance Stoch 4(4), 465–496 (2000). https://doi.org/10.1007/PL00013528 .
Arai, T., Imai, Y., Suzuki, R.: Local risk-minimization for Barndorff-Nielsen and Shephard models. Finance Stoch 21(2), 551–592 (2017). https://doi.org/10.1007/s00780-017-0324-8 .
Arai, T., Imai, Y., Suzuki, R.: Numerical analysis on local risk-minimization for exponential Lévy models. Int J Theor Appl Finance 19(2), 1650008–27 (2016). https://doi.org/10.1142/S0219024916500084 .
Arai, T., Suzuki, R.: Local risk-minimization for Lévy markets. Int J Financ Eng 2(2), 1550015–28 (2015). https://doi.org/10.1142/S2424786315500152 .
- Benth, F.E., Di Nunno, G., Løkka, A., Øksendal, B., Proske, F.: Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. 13, 55–72 (2003). https://doi.org/10.1111/1467-9965.t01-1-00005 . Conference on applications of Malliavin calculus in finance (Rocquencourt, 2001).
Paper not yet in RePEc: Add citation now
- Clark, J.M.C.: Correction to: the representation of functionals of brownian motion by stochastic integrals. Ann Math Statist 42, 1778 (1971). https://doi.org/10.1214/aoms/1177693186 .
Paper not yet in RePEc: Add citation now
- Clark, J.M.C.: The representation of functionals of Brownian motion by stochastic integrals. Ann Math Statist 41, 1282–1295 (1970). https://doi.org/10.1214/aoms/1177696903 .
Paper not yet in RePEc: Add citation now
- Cont, R., Tankov, P.: Financial Modelling with Jump Processes. In: Chapman & Hall/CRC Financial Mathematics Series, p. 535. Chapman & Hall/CRC, Boca Raton (2004).
Paper not yet in RePEc: Add citation now
- Di Nunno, G., Øksendal, B., Proske, F.: Malliavin Calculus for Lévy Processes with Applications to Finance. Universitext. Springer, Berlin (2009). https://doi.org/10.1007/978-3-540-78572-9 .
Paper not yet in RePEc: Add citation now
- Di Nunno, G., Øksendal, B., Proske, F.: White noise analysis for Lévy processes. J Funct Anal 206(1), 109–148 (2004). https://doi.org/10.1016/S0022-1236(03)00184-8 .
Paper not yet in RePEc: Add citation now
- Di Nunno, G., Vives, J.: A Malliavin-Skorohod calculus in $$L^0$$ L 0 and $$L^1$$ L 1 for additive and Volterra-type processes. Stochastics 89(1), 142–170 (2017). https://doi.org/10.1080/17442508.2016.1140767 .
Paper not yet in RePEc: Add citation now
- Fllmer, H., Schweizer, M.: Hedging of contingent claims under incomplete information. In: Applied Stochastic Analysis, pp. 389–414. Gordon Breach Science Publishers, New York (1991).
Paper not yet in RePEc: Add citation now
- Föllmer, H., Sondermann, D.: Hedging of nonredundant contingent claims. In: Contributions to Mathematical Economics, 205–223. North-Holland, Amsterdam (1986).
Paper not yet in RePEc: Add citation now
- Haussmann, U.G.: On the integral representation of functionals of Itô processes. Stochastics 3(1), 17–27 (1979). https://doi.org/10.1080/17442507908833134 .
Paper not yet in RePEc: Add citation now
- Huehne, F.: A Clark-Ocone-Haussmann formula for optimal portfolios under Girsanov transformed pure-jump Lévy processes. Working Paper (2005).
Paper not yet in RePEc: Add citation now
- Lépingle, D., Mémin, J.: Sur l’intégrabilité uniforme des martingales exponentielles. Z Wahrsch Verw Gebiete 42(3), 175–203 (1978). https://doi.org/10.1007/BF00641409 .
Paper not yet in RePEc: Add citation now
- Løkka, A.: Martingale representation of functionals of Lévy processes. Stochastic Anal Appl 22(4), 867–892 (2004). https://doi.org/10.1081/SAP-120037622 .
Paper not yet in RePEc: Add citation now
Nualart, D., Nualart, E.: Introduction to Malliavin Calculus. In: Institute of Mathematical Statistics Textbooks, 9, 236, vol. 9, p. 236. Cambridge University Press, Cambridge (2018).
- Ocone, D.: Malliavin’s calculus and stochastic integral representations of functionals of diffusion processes. Stochastics 12(3–4), 161–185 (1984). https://doi.org/10.1080/17442508408833299 .
Paper not yet in RePEc: Add citation now
- Ocone, D.L., Karatzas, I.: A generalized Clark representation formula, with application to optimal portfolios. Stochastics Stochastics Rep 34(3–4), 187–220 (1991). https://doi.org/10.1080/17442509108833682 .
Paper not yet in RePEc: Add citation now
- Okur, Y.Y.: An extension of the Clark-Ocone formula under benchmark measure for Lévy processes. Stochastics 84(2–3), 251–272 (2012). https://doi.org/10.1080/17442508.2010.542817 .
Paper not yet in RePEc: Add citation now
- Okur, Y.Y.: White noise generalization of the Clark-Ocone formula under change of measure. Stoch Anal Appl 28(6), 1106–1121 (2010). https://doi.org/10.1080/07362994.2010.515498 .
Paper not yet in RePEc: Add citation now
- Protter, P.E.: Stochastic integration and differential equations. Stochastic Modelling and Applied Probability, 21, 419. Springer, Berlin (2005). https://doi.org/10.1007/978-3-662-10061-5 . Second edition. Version 2.1, Corrected third printing.
Paper not yet in RePEc: Add citation now
- Sato, K.: Lévy Processes and infinitely divisible distributions. Cambridge Studies in Advanced Mathematics, 68, 521. Cambridge University Press, Cambridge (2013). Translated from the 1990 Japanese original, Revised edition of the 1999 English translation.
Paper not yet in RePEc: Add citation now
- Schoutens, W.: Lévy Processes in Finance: Pricing Financial Derivatives. Wiley, Hoboken, NJ (2003). https://doi.org/10.1002/0470870230 .
Paper not yet in RePEc: Add citation now
- Schweizer, M.: A guided tour through quadratic hedging approaches. In: Option Pricing, Interest Rates and Risk Management Handbook of Mathematical Finance, pp. 538–574. Cambridge University Press, Cambridge (2001). https://doi.org/10.1017/CBO9780511569708.016 .
Paper not yet in RePEc: Add citation now
- Schweizer, M.: Local risk-minimization for multidimensional assets and payment streams. In: Advances in Mathematics of Finance. Banach Center Publications, vol. 83, pp. 213–229. Polish Academy of Sciences, Institute of Mathematics, Warsaw (2008). https://doi.org/10.4064/bc83-0-13 .
Paper not yet in RePEc: Add citation now
- Schweizer, M.: On the minimal martingale measure and the Föllmer-Schweizer decomposition. Stochastic Anal Appl 13(5), 573–599 (1995). https://doi.org/10.1080/07362999508809418 .
Paper not yet in RePEc: Add citation now
Schweizer, M.: Option hedging for semimartingales. Stochastic Process Appl 37(2), 339–363 (1991). https://doi.org/10.1016/0304-4149(91)90053-F .
Solé, J.L., Utzet, F., Vives, J.: Canonical Lévy process and Malliavin calculus. Stochastic Process Appl 117(2), 165–187 (2007). https://doi.org/10.1016/j.spa.2006.06.006 .
- Suzuki, R.: A Clark-Ocone type formula under change of measure for Lévy processes with $$L^2$$ L 2 -Lévy measure. Commun Stoch Anal 7(3), 383–407 (2013). https://doi.org/10.31390/cosa.7.3.03 .
Paper not yet in RePEc: Add citation now
- Suzuki, R.: A Clark-Ocone type formula under change of measure for multidimensional Lévy processes. Commun Stoch Anal 11(1), 3–2142 (2017). https://doi.org/10.31390/cosa.11.1.03 .
Paper not yet in RePEc: Add citation now