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Jean Jacod

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2010 – 2019

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2018
[j6]
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Jean Jacod, Mark Podolskij:
On the minimal number of driving Lévy motions in a multivariate price model. J. Appl. Probab. 55(3): 823-833 (2018)
2012
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Jean Jacod, Claudia Klüppelberg, Gernot Müller:
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data. J. Appl. Probab. 49(4): 901-914 (2012)
2010
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Jean Jacod, Philip Protter:
Risk-neutral compatibility with option prices. Finance Stochastics 14(2): 285-315 (2010)

2000 – 2009

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2005
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Ernst Eberlein, Jean Jacod, Sebastian Raible:
Lévy term structure models: No-arbitrage and completeness. Finance Stochastics 9(1): 67-88 (2005)
2001
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  - books/sp/01/MoralJ01
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Pierre Moral, Jean Jacod:
Interacting Particle Filtering With Discrete Observations. Sequential Monte Carlo Methods in Practice 2001: 43-75

1990 – 1999

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1998
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Jean Jacod, Albert N. Shiryaev:
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Finance Stochastics 2(3): 259-273 (1998)
1997
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Ernst Eberlein, Jean Jacod:
On the range of options prices. Finance Stochastics 1(2): 131-140 (1997)

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