4 citations · 5 across the 2 of their papers we have counts for
2 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…