Lévy Processes and Stochastic Calculus. Second Edition, 2009. ,
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps, Finance and Stochastics, vol.9, issue.4, pp.563-575, 2005. ,
DOI : 10.1007/s00780-005-0161-z
Financial Modelling with Jump Processes, 2003. ,
DOI : 10.1201/9780203485217
URL : https://hal.archives-ouvertes.fr/hal-00002693
Malliavin calculus and anticipative Itô formulae for Lévy processes, Inf. Dim. Anal. Quant. Prob. Rel. Topics, vol.8, pp.235-258, 2005. ,
Malliavin Calculus for Lévy Processes with Applications to Finance. Forthcoming book ,
Pricing via utility maximization and entropy, Math. Finance, vol.10, pp.259-276, 2000. ,
Optimal replication of contingent claims under transaction costs. Rev, Future Markets, vol.8, pp.222-239, 1989. ,
Dynamic exponential utility indifference valuation, The Annals of Applied Probability, vol.15, issue.3, pp.2113-2143, 2005. ,
DOI : 10.1214/105051605000000395
URL : http://arxiv.org/abs/math/0508489
A stochastic maximum principle via Malliavin calculus, 2009. ,
An example of indifference prices under exponential preferences, Finance and Stochastics, vol.8, issue.2, pp.229-239, 2004. ,
DOI : 10.1007/s00780-003-0112-5
The Malliavin Calculus and Related Topics, 2006. ,
DOI : 10.1007/978-1-4757-2437-0
Applied Stochastic Control of Jump Diffusions, 2007. ,
DOI : 10.1007/978-3-540-69826-5
The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures, Osaka J. Math, vol.44, pp.207-230, 2007. ,
Vallois: Forward, backward and symmetric stochastic integration, Proba. Th. Related Fields, vol.97, 1993. ,
The generalized covariation process and Ito formula, Stochastic Processes and their Applications, vol.59, issue.1, p.59, 1995. ,
DOI : 10.1016/0304-4149(95)93237-A
Stochastic calculus with respect to continuous finite quadratic variation processes, Stochastics An International Journal of Probability and Stochastic Processes, vol.70, issue.1, pp.1-40, 2000. ,
DOI : 10.1080/17442500008834244
Utility based pricing and hedging in models with jumps, 2006. ,