1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2015
Functional calculus and martingale representation formula for integer-valued random measures
Pierre M. Blacque-Florentin, Rama Cont
We develop a non-anticipative calculus for functionals of a continuous martingale and an integer-valued random measure. We first construct a non-anticipative functional derivative,…
q-fin.CP2015★ 1 cited
Nonparametric and arbitrage-free construction of call surfaces using l1-recovery
Pierre M. Blacque-Florentin, Badr Missaoui
This paper is devoted to the application of an -minimisation technique to construct an arbitrage-free call-option surface. We propose a nononparametric approach to obtaining…