10 citations · 24 across the 9 of their papers we have counts for
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q-fin.MF2015
Itô's formula for finite variation Lévy processes: The case of non-smooth functions
Ramin Okhrati, Uwe Schmock
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-Itô, applies to on…
q-fin.MF2015★ 10 cited
Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
Ramin Okhrati, Alejandro Balbás, José Garrido
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This…