Theory of Dirichlet forms and application, 2003. ,
Asset pricing and the bid-ask spread, Journal of Financial Economics, vol.17, issue.2, pp.223-249, 1986. ,
DOI : 10.1016/0304-405X(86)90065-6
Formule de Taylor Stochastique et developpement asymptotique d'integrales de Feynman, pp.237-285, 1982. ,
The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-659, 1973. ,
DOI : 10.1086/260062
Dirichlet Forms and Analysis on Wiener space, De Gruyter, 1991. ,
Calcul d'erreur complet lipschitzien et formes de Dirichlet, Journal de Math??matiques Pures et Appliqu??es, vol.80, issue.9, pp.961-976, 2001. ,
DOI : 10.1016/S0021-7824(01)01206-5
URL : https://hal.archives-ouvertes.fr/hal-00106945
Error Calculus for Finance and Physics, 2003. ,
DOI : 10.1515/9783110199291
Error Calculus and path sensivity in financial models, Mathematical Finance, pp.13-14, 2003. ,
Structures d'erreur et estimation paramétrique, C.R. Accad. Sci, pp.305-311, 1338. ,
Improving Monte Carlo simulations by Dirichlet forms, Comptes Rendus Mathematique, vol.341, issue.5, pp.303-306, 2005. ,
DOI : 10.1016/j.crma.2005.07.017
URL : https://hal.archives-ouvertes.fr/hal-00781404
When and how an error yields a Dirichlet form, Journal of Functional Analysis, vol.240, issue.2, pp.240-242, 2006. ,
DOI : 10.1016/j.jfa.2006.03.007
URL : https://hal.archives-ouvertes.fr/hal-00105511
An Introduction to Infinite-Dimensional Analysis, 2006. ,
DOI : 10.1007/3-540-29021-4
Fondamenti Logici del Ragionamento Probabilistico, Bollettino dell, Unione Matematíca ltaliana, vol.9, pp.258-261, 1930. ,
More than you Ever Wanted to Know about Volatility Swaps, Quantitative Strategies Research Notes, 1999. ,
Valuing Contracts with Payoffs based on Realized Volatility, Global Derivatives Quarterly Review, 1996. ,
Laplace and the indifference principle in the " Essai philosophique des probabilités, Rend. Sem. Mat. Univ. Politec. Torino, vol.36, pp.125-137, 1977. ,
Mémoires inédits ou anonymes de Laplace sur la théorie des erreurs, les polynômes de Legendre, et la philosophie des probabilités, Rev, Histoire Sci. Appl, pp.32-35, 1979. ,
Abstract Wiener Spaces, Proc. 5th Berkeley Sym, pp.31-42, 1965. ,
Détermination des formes de Dirichlet sur R n, 1975. ,
Stochastic Climate models: Part I Theory, pp.473-485, 1976. ,
DOI : 10.1111/j.2153-3490.1976.tb00696.x
URL : http://www.tellusa.net/index.php/tellusa/article/view/11316
Brownian Motion and Stochastic Calculus Second Edition, 1991. ,
DOI : 10.1007/978-1-4612-0949-2
Stochastic di erential equations and di usion processes, 1979. ,
Introduction to Stochastic Calculus Applied to Finance, 1995. ,
Introdution to the theory of (non-symmetric) Dirichlet forms, 1992. ,
Une exploration des signaux en ondelettes, Editions de l'Ecole Polytechnique, 2000. ,
Stochastic Analysis, 1997. ,
DOI : 10.1007/978-3-642-15074-6
The Malliavin Calculus and Related Topics, 1995. ,
DOI : 10.1007/978-1-4757-2437-0
Contributions to the problem of approximation of equidistant data by analytic functions. Part A. On the problem of smoothing or graduation. A first class of analytic approximation formulae, Quarterly of Applied Mathematics, vol.4, issue.1, pp.45-99, 1946. ,
DOI : 10.1090/qam/15914
Perturbative Approach on Financial Markets, 2007. ,
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets, pp.708-1073, 2007. ,
Calibration of Perturbative Black Scholes model with Variance Swaps, 2007. ,
Errors Theory using Dirichlet Forms in Saint-Venant PDE: a numerical approach with explicit scheme, 2007. ,
Stochastic Partial Differential Equations with a Noised Starting Condition, 2007. ,
Symmetric Markov Processes, Lecture Notes in Math, vol.426, 1974. ,
DOI : 10.1007/BFb0073683
A New Formula for the Index of Cost of Living, Econometrica, vol.7, issue.4, 1939. ,
DOI : 10.2307/1906982
An introduction to stochastic partial differential equations, pp.265-439, 1986. ,
DOI : 10.1007/BFb0074920
Theory of Dirichlet forms and application, 2003. ,
Optimal execution strategies in limit order books with general shape functions, p.166969 ,
URL : https://hal.archives-ouvertes.fr/hal-00166969
Optimal execution with nonlinear impact functions and trading-enhanced risk, Applied Mathematical Finance, vol.3, issue.1, pp.1-18, 2003. ,
DOI : 10.3905/jpm.1992.409428
Adaptative arrival price In: Algorithmic Trading III: Precision, Control, Execution, Institutional Investor Journals, 2007. ,
Asset pricing and the bid-ask spread, Journal of Financial Economics, vol.17, issue.2, pp.223-249, 1986. ,
DOI : 10.1016/0304-405X(86)90065-6
Formule de Taylor Stochastique et developpement asymptotique d'integrales de Feynman, pp.237-285, 1982. ,
Optimal control of execution costs, Journal of Financial Markets, vol.1, issue.1, pp.1-50, 1998. ,
DOI : 10.1016/S1386-4181(97)00012-8
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance, vol.14, issue.5, pp.1655-1689, 1995. ,
DOI : 10.1111/j.1540-6261.1995.tb05192.x
The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-659, 1973. ,
DOI : 10.1086/260062
Dirichlet Forms and Analysis on Wiener space, De Gruyter, 1991. ,
Error Calculus for Finance and Physics, 2003. ,
DOI : 10.1515/9783110199291
Error Calculus and path sensivity in financial models, Mathematical Finance, pp.13-14, 2003. ,
Structures d'erreur et estimation paramétrique, C.R. Accad. Sci, pp.305-311, 1338. ,
Improving Monte Carlo simulations by Dirichlet forms, Comptes Rendus Mathematique, vol.341, issue.5, pp.303-306, 2005. ,
DOI : 10.1016/j.crma.2005.07.017
URL : https://hal.archives-ouvertes.fr/hal-00781404
When and how an error yields a Dirichlet form, Journal of Functional Analysis, vol.240, issue.2, pp.240-242, 2006. ,
DOI : 10.1016/j.jfa.2006.03.007
URL : https://hal.archives-ouvertes.fr/hal-00105511
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES, International Journal of Theoretical and Applied Finance, vol.05, issue.04, pp.427-446, 2002. ,
DOI : 10.1142/S0219024902001511
Consistent Variance Curve Models , Finance and Stochastic, pp.178-203, 2006. ,
DOI : 10.1007/s00780-006-0008-2
The relation between implied and realized volatility1We thank Interactive Data Corporation for providing the option price data used in this study, and David Bates, N.K. Chidambaran, Young???Ho Eom, Steven Feinstein, Stephen Figlewski, Ken French, Will Goetzmann, Bob Jarrow, Nikunj Kapadia, Cheng???Few Lee, K. Geert Rouwenhorst, Chris Sims, Suresh Sundaresan, Zhen Yu Wang, seminar participants at the American Finance Association, Boston University, European Finance Association, Financial Management Association, and the Cornell???Queens Derivative Securities Conference for useful comments. We are also grateful to G. William Schwert (the editor) and an anonymous referee for very extensive and helpful feedback.1, Journal of Financial Economics, vol.50, issue.2, pp.125-150, 1998. ,
DOI : 10.1016/S0304-405X(98)00034-8
Market Makers and the Market Spread: A Review of Recent Literature, The Journal of Financial and Quantitative Analysis, vol.14, issue.4, p.813, 1979. ,
DOI : 10.2307/2330456
Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread, Journal of Political Economy, vol.89, issue.2, p.287, 1979. ,
DOI : 10.1086/260966
More than you Ever Wanted to Know about Volatility Swaps, Quantitative Strategies Research Notes, 1999. ,
Valuing Contracts with Payoffs based on Realized Volatility, Global Derivatives Quarterly Review, 1996. ,
The Impact of Jumps in Volatility and Returns, The Journal of Finance, vol.42, issue.2, pp.1269-1300, 2003. ,
DOI : 10.1111/1540-6261.00566
Generalized Integration and Stochastic ODEs, The Annals of Probability, pp.270-292, 2002. ,
Derivatives in Financial Markets with Stochastic Volatility, 2000. ,
Foreign currency option values, Journal of International Money and Finance, vol.2, issue.3, pp.231-237, 1983. ,
DOI : 10.1016/S0261-5606(83)80001-1
Abstract Wiener Spaces, Proc. 5th Berkeley Sym, pp.31-42, 1965. ,
Managing Smile Risk Willmot magazine 1, pp.84-108, 2002. ,
Equivalent Black volatilities, Applied Mathematical Finance, vol.7, issue.3, pp.147-157, 1999. ,
DOI : 10.1007/978-1-4757-4213-8
Détermination des formes de Dirichlet sur R n, 1975. ,
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, issue.2, pp.327-343, 1993. ,
DOI : 10.1093/rfs/6.2.327
The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance, vol.40, issue.2, pp.281-300, 1987. ,
DOI : 10.1111/j.1540-6261.1987.tb02568.x
Recovering Probability Distributions from Option Prices, The Journal of Finance, vol.6, issue.4, pp.1611-1631, 1996. ,
DOI : 10.1111/j.1540-6261.1996.tb05219.x
Brownian Motion and Stochastic Calculus Second Edition, 1991. ,
Introduction to Stochastic Calculus Applied to Finance, 1995. ,
Implementing Option Pricing Models When Asset Returns are Predictable, 1995. ,
The Log Contract, The Journal of Portfolio Management, vol.20, issue.2, pp.74-80, 1994. ,
DOI : 10.3905/jpm.1994.409478
The Malliavin Calculus and Related Topics, 1995. ,
DOI : 10.1007/978-1-4757-2437-0
Optimal Trading Strategy and Supply/Demand Dynamics, fourthcoming in Journal of Financial Markets ,
DOI : 10.1016/j.finmar.2012.09.001
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.181.198
An Introduction to Malliavin Calculus with applications to Economics, Norvegian Shool of Economics and Business Administration, 1997. ,
Extracting Information from Options Markets: Smiles, State-Price Densities and Risk Aversion, European Financial Management, vol.8, issue.4, pp.495-513, 2002. ,
DOI : 10.1111/1468-036X.00201
URL : https://hal.archives-ouvertes.fr/halshs-00071103
More statistical properties of order books and price impact, Physica A: Statistical Mechanics and its Applications, vol.324, issue.1-2, pp.133-140, 2003. ,
DOI : 10.1016/S0378-4371(02)01896-4
URL : https://hal.archives-ouvertes.fr/hal-00134675
Stochastic Integration and Differential Equations: A new Approach, 1990. ,
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Mathematical Finance, vol.8, issue.1, pp.279-302, 1996. ,
DOI : 10.1016/0304-405X(87)90009-2
Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978, The Journal of Finance, vol.38, issue.2, pp.455-480, 1976. ,
DOI : 10.1111/j.1540-6261.1985.tb04967.x
Perturbative Approach on Financial Markets, 2007. ,
Calibration of Perturbative Black Scholes model with Variance Swaps, 2007. ,
Stock Market Structure and Volatility, Conference: Stock Market Volatility and the Crash, pp.37-71, 1989. ,
DOI : 10.1093/rfs/3.1.37
Theory of Dirichlet forms and application, 2003. ,
Computational Fluid Dynamics, 1995. ,
The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-659, 1973. ,
DOI : 10.1086/260062
Dirichlet Forms and Analysis on Wiener space, De Gruyter, 1991. ,
Construction of Dirichlet Structures, proceedings of int. conf. on potential theory 94, 1995. ,
Error Calculus for Finance and Physics, 2003. ,
DOI : 10.1515/9783110199291
Structures d'erreur et estimation paramétrique, C.R. Accad. Sci, pp.305-311, 1338. ,
A theory of the term structure of interest rates, Econometrica, pp.53-373, 1985. ,
Orthonormal bases of compactly supported wavelets, Communications on Pure and Applied Mathematics, vol.34, issue.7, pp.909-996, 1988. ,
DOI : 10.1002/cpa.3160410705
Two-Scale Difference Equations II. Local Regularity, Infinite Products of Matrices and Fractals, SIAM Journal on Mathematical Analysis, vol.23, issue.4, 1992. ,
DOI : 10.1137/0523059
Introduction to Stochastic Equations, Stochastic Climate Models, Progress Probability 49, 2001. ,
Equivalent Black volatilities, Applied Mathematical Finance, vol.7, issue.3, pp.147-157, 1999. ,
DOI : 10.1007/978-1-4757-4213-8
Managing Smile Risk Willmot magazine 1, pp.84-108, 2002. ,
Hydrodynamique des Ecoulementsà surface libre, 2003. ,
Introduction to Stochastic Calculus Applied to Finance, 1995. ,
Modeling and Control of Open Channel Flow. A Frequency Domain Approach, 2008. ,
Partial Differential Equations of First Order and their Applications to Physics, 1999. ,
DOI : 10.1142/4006
Une exploration des signaux en ondelettes, Editions de l'Ecole Polytechnique, 2000. ,
A theory for multiresolution signal decomposition: the wavelet representation, IEEE Transactions on Pattern Analysis and Machine Intelligence, vol.11, issue.7, pp.674-693, 1989. ,
DOI : 10.1109/34.192463
An Introduction to Partial Differential Equations, 1993. ,
Perturbative Approach on Financial Markets ,
On Wavelet Fundamental Solutions to the Heat Equation???Heatlets, Journal of Differential Equations, vol.161, issue.2, pp.403-421, 2000. ,
DOI : 10.1006/jdeq.1999.3707
Stochastic Calculus for Finance II, Continuous-Time Models, 2004. ,
Partial Differential Equations, vol I and II, 1996. ,
Theory of Dirichlet forms and application, 2003. ,
Formule de Taylor Stochastique et developpement asymptotique d'integrales de Feynman, pp.237-285, 1982. ,
A bidimensional approach to mortality risk, Decisions in Economics and Finance, vol.2, issue.2, pp.71-94, 2006. ,
DOI : 10.1007/s10203-006-0061-5
Dirichlet Forms and Analysis on Wiener space, De Gruyter, 1991. ,
Error Calculus for Finance and Physics, 2003. ,
DOI : 10.1515/9783110199291
Error Calculus and path sensivity in financial models, Mathematical Finance, pp.13-14, 2003. ,
Structures d'erreur et estimation paramétrique, C.R. Accad. Sci, pp.305-311, 1338. ,
Theoreme de Donsker et formes de Dirichlet, Theoreme de Donsker et formes de Dirichlet, pp.369-380, 2005. ,
DOI : 10.1016/j.bulsci.2004.09.005
URL : https://hal.archives-ouvertes.fr/hal-00105694
A Geometric View of Interest Rate Theory, Handbook of Mathematical Finance, 2000. ,
Structural sensitivity analysis and optimisation, 2005. ,
Modeling Term Structure Dynamics: an Infinte Dimensional Approach, International J. of Theoretical and Appl. Finance, pp.8-11, 2005. ,
Extending the Martingale Measure Stochastic Integral with Aplications to Spatial Homogeneous SPDE's, Elec, J. of Prob, vol.4, pp.1-29, 1999. ,
Kolmogorov Equations for Stochastic PDEs, Birkhauser-Verlag and Centre de Recerca Matematica, 2004. ,
DOI : 10.1007/978-3-0348-7909-5
An Introduction to Infinite Dimensional Analysis, 2006. ,
DOI : 10.1007/3-540-29021-4
Exponential Stability of the quasi-geostrophic equation under random perturbation, Stochastic Climate Models, Progress Probability 49, 2001. ,
A selection-migration model in population genetics, Journal Of Mathematical Biology, vol.75, issue.3, pp.219-233, 1975. ,
DOI : 10.1007/BF00277151
Diffusion Processes in Population Biology, Advances in Applied Probability, vol.7, pp.100-105, 1975. ,
DOI : 10.2307/1426314
Introduction to Stochastic Equations, Stochastic Climate Models, Progress Probability 49, 2001. ,
Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate Models, in Option Pricing, Interest Rates and Risk Management, 2001. ,
Détermination des formes de Dirichlet sur R n, 1975. ,
Stochastic Climate models: Part I Theory, Tellus, pp.473-485, 1976. ,
Stochastic Partial Differential Equations, 2007. ,
URL : https://hal.archives-ouvertes.fr/hal-01108223
Ocean Circulation Theory, 1996. ,
DOI : 10.1007/978-3-662-03204-6
Malliavin Calculus with Applications to Stochastic Partial Differential Equations, 2005. ,
DOI : 10.1201/9781439818947
Errors Theory using Dirichlet Forms in Saint-Venant PDE: a numerical approach with explicit scheme, 2007. ,
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets, 2007. ,
Variational Assimilation of Meteorological Observations With the Adjoint Vorticity Equation. I: Theory, Quarterly Journal of the Royal Meteorological Society, vol.8, issue.10, pp.1311-1328, 1987. ,
DOI : 10.1002/qj.49711347812
An introduction to stochastic partial differential equations, pp.265-439, 1986. ,
DOI : 10.1007/BFb0074920
Introduction to Stochastic Equations, Stochastic Climate Models, Progress Probability 49, 2001. ,