1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2022★ 1 cited
Linear and Nonlinear Partial Integro-Differential Equations arising from Finance
Jose Cruz, Maria Grossinho, Daniel Sevcovic +1
The purpose of this review paper is to present our recent results on nonlinear and nonlocal mathematical models arising from modern financial mathematics. It is based on our four p…
math.AP2020
On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
Jose Cruz, Daniel Sevcovic
In this paper we focus on qualitative properties of solutions to a nonlocal nonlinear partial integro-differential equation (PIDE). Using the theory of abstract semilinear paraboli…
q-fin.MF2019
Option Pricing in Illiquid Markets with Jumps
Jose Cruz, Daniel Sevcovic
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completen…