Stochastic processes and financial applications
This cluster of papers focuses on the theory and applications of option pricing models, including topics such as stochastic calculus, jump diffusion, volatility modeling, mean field games, term structure models, risk premia, Monte Carlo simulation, and market microstructure noise in the context of financial economics.
Papers listed on taxonomy pages are the top few works per node from the OpenAlex snapshot. That list is not exhaustive and is not an endorsement. The topic map and the journal registry remain separate: there is still no authoritative topic-to-venue or topic-to-organization edge. Search is a lexical lookup, not a claim that a venue publishes a topic.
Most cited
- ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Theory of the Term Structure of Interest Rates
- An equilibrium characterization of the term structure
- Option pricing: A simplified approach
- Limit Theorems for Stochastic Processes.
Most recent
- Refined expansions of the skew-stickiness ratio in stochastic volatility models
- The ergodic linear-quadratic optimal control problems for stochastic mean-field systems with periodic coefficients
- Finite-horizon ratcheting with perpetual commitment: optimal consumption, investment, and lock-in effects
- Asymptotic behaviors for Volterra type McKean-Vlasov stochastic integral equations with small noise
- Stochastic Maximum Principle for Square-Integrable Optimal Control of Linearly Growing Stochastic Differential Systems Subject to a Quadratically Growing Cost Functional
- Transforms and convolutions for functionals of generalized Brownian motion paths