4 citations · 9 across the 3 of their papers we have counts for
3 papers
math.PR2006★ 4 cited
Localizing Volatilities
Marc Atlan
We propose two main applications of Gyöngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuou…
math.PR2006★ 1 cited
Time-Changed Bessel Processes and Credit Risk
Marc Atlan, Boris Leblanc
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with def…
math.PR2005★ 4 cited
Options on Hedge Funds under the High Water Mark Rule
Marc Atlan, Hélyette Geman, Marc Yor
The rapidly growing hedge fund industry has provided individual and institutional investors with new investment vehicles and styles of management. It has also brought forward a new…