65 citations · 131 across the 17 of their papers we have counts for
Showing 2011 · math.PRShow all
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math.PR2011★ 6 cited
On progressive filtration expansion with a process
Younes Kchia, Philip Protter
In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale…
math.PR2011
Linking progressive and initial filtration expansions
Younes Kchia, Martin Larsson, Philip Protter
In this paper we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural lin…
math.PR2011★ 5 cited
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…