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Veröffentlichungsdatum
Anzahl der Publikationen: 12
2012
Meyer-Brandis, Thilo 
ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Zhou, Xun Yu
(2012):
A mean-field stochastic maximum principle via Malliavin calculus.
In: Stochastics, Bd. 84, Nr. 5-6: S. 643-666
ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Zhou, Xun Yu
(2012):
A mean-field stochastic maximum principle via Malliavin calculus.
In: Stochastics, Bd. 84, Nr. 5-6: S. 643-666
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983 und Øksendal, Bernt
(2012):
Insider trading equilibrium in a market with memory.
In: Mathematics and Financial Economics, Bd. 6, Nr. 3: S. 229-247
ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983 und Øksendal, Bernt
(2012):
Insider trading equilibrium in a market with memory.
In: Mathematics and Financial Economics, Bd. 6, Nr. 3: S. 229-247
2011
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia
(2011):
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model.
In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.):
Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132
ORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia
(2011):
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model.
In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.):
Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132
2008
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Zhang, Tusheng
(2008):
Stochastic Calculus for Fractional Brownian Motion and Applications.
London: Springer.
ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Zhang, Tusheng
(2008):
Stochastic Calculus for Fractional Brownian Motion and Applications.
London: Springer.
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2008):
Forward integrals and an Itô formula for fractional Brownian motion.
In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 11, Nr. 02: S. 157-177
ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2008):
Forward integrals and an Itô formula for fractional Brownian motion.
In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 11, Nr. 02: S. 157-177
2006
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2006):
Minimal variance hedging for insider trading.
In: International Journal of Theoretical and Applied Finance, Bd. 09, Nr. 08: S. 1351-1375
ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2006):
Minimal variance hedging for insider trading.
In: International Journal of Theoretical and Applied Finance, Bd. 09, Nr. 08: S. 1351-1375
Nunno, Giulia Di; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank
(2006):
Optimal portfolio for an insider in a market driven by Lévy processes§.
In: Quantitative Finance, Bd. 6, Nr. 1: S. 83-94
ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank
(2006):
Optimal portfolio for an insider in a market driven by Lévy processes§.
In: Quantitative Finance, Bd. 6, Nr. 1: S. 83-94
2005
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2005):
A General Stochastic Calculus Approach to Insider Trading.
In: Applied Mathematics and Optimization, Bd. 52, Nr. 2: S. 167-181
ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2005):
A General Stochastic Calculus Approach to Insider Trading.
In: Applied Mathematics and Optimization, Bd. 52, Nr. 2: S. 167-181
Di Nunno, Giulia; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank
(2005):
Malliavin Claculus and Anticipative Itô Formulae for Lévy Processes.
In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 08, Nr. 02: S. 235-258
ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank
(2005):
Malliavin Claculus and Anticipative Itô Formulae for Lévy Processes.
In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 08, Nr. 02: S. 235-258
2004
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Øksendal, Bernt; Sulem, Agnès und Wallner, Naomi
(2004):
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion.
In: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, Bd. 460, Nr. 2041: S. 347-372
ORCID: https://orcid.org/0000-0001-9801-5259; Øksendal, Bernt; Sulem, Agnès und Wallner, Naomi
(2004):
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion.
In: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, Bd. 460, Nr. 2041: S. 347-372
2003
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2003):
Minimal variance hedging for fractional Brownian motion.
In: Methods and Applications of Analysis, Bd. 10, Nr. 3:
347 - 362
ORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt
(2003):
Minimal variance hedging for fractional Brownian motion.
In: Methods and Applications of Analysis, Bd. 10, Nr. 3:
347 - 362
2002
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Sulem, Agnès
(2002):
A stochastic maximum principle for processes driven by fractional Brownian motion.
In: Stochastic Processes and their Applications, Bd. 100, Nr. 1-2: S. 233-253
ORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Sulem, Agnès
(2002):
A stochastic maximum principle for processes driven by fractional Brownian motion.
In: Stochastic Processes and their Applications, Bd. 100, Nr. 1-2: S. 233-253