Convergence of probability measures Wiley Series in Probability and Statistics: Probability and Statistics, p.pp, 1999. ,
Comparison of Option Prices in Semimartingale Models, Finance and Stochastics, vol.19, issue.2, pp.222-249, 2006. ,
DOI : 10.1007/s00780-006-0001-9
Comparison of semimartingales and L??vy processes, The Annals of Probability, vol.35, issue.1, pp.228-254, 2007. ,
DOI : 10.1214/009117906000000386
Comparison results for path-dependent options, Statistics & Decisions, vol.26, issue.1, pp.53-72, 2008. ,
DOI : 10.1524/stnd.2008.0912
Numerical methods for stochastic processes, Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics, p.pp, 1994. ,
On the qualitative effect of volatility and duration on prices of Asian options, Finance Research Letters, vol.5, issue.3, pp.162-171, 2008. ,
DOI : 10.1016/j.frl.2008.05.001
Probabilités et Statistique II,probì emesàemesà temps mobile, p.286, 1982. ,
Robustness of the Black and Scholes Formula, Mathematical Finance, vol.8, issue.2, pp.93-126, 1998. ,
DOI : 10.1111/1467-9965.00047
Les Aspects Probabilistes Du Controle Stochastique, Lecture Notes in Math, vol.876, pp.73-238, 1979. ,
DOI : 10.1007/BFb0097499
Mean stochastic comparison of diffusions, Probability and Related Fields, pp.315-329, 1985. ,
Monotone approximations for convex stochastic control problems, Journal of Mathematical Systems, Estimation, and Control, vol.4, issue.4, pp.99-140, 1994. ,
Applying It?????s motto: ???Look at the infinite dimensional picture??? by constructing sheets to obtain processes increasing in the convex order, Periodica Mathematica Hungarica, vol.14, issue.3, pp.199-211, 2010. ,
DOI : 10.1007/s10998-010-3195-8
Peacocks and Associated Martingales, With Explicit Constructions, 2011. ,
DOI : 10.1007/978-88-470-1908-9
URL : https://hal.archives-ouvertes.fr/hal-00657769
Comparing Brownian stochastic integrals for the convex order, Modern Stochastics and Applications, pp.3-19, 2014. ,
Robust hedging of the lookback option, Finance and Stochastics, vol.2, issue.4, pp.329-347, 1998. ,
DOI : 10.1007/s007800050044
The Euler scheme for L???vy driven stochastic differential equations: limit theorems, The Annals of Probability, vol.32, issue.3A, pp.1830-1872, 2004. ,
DOI : 10.1214/009117904000000667
Limit theorems for stochastic processes, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences, 1987. ,
DOI : 10.1007/978-3-662-02514-7
Limit theorems for stochastic processes, Fundamental Principles of Mathematical Sciences], vol.288, p.661, 2003. ,
DOI : 10.1007/978-3-662-02514-7
Discretization of Processes (Stochastic Modeling and Applied Probability, p.612, 2003. ,
Convergence en loi des suites d'intégrales stochastiques sur l'espace ID 1 de Skorokhod, French) [Convergence in law of sequences of stochastic integrals on the Skorokhod space ID 1 ] Probab. Theory Related Fields, pp.111-137, 1989. ,
DOI : 10.1007/bf00343739
Brownian motion and stochastic calculus, Graduate Texts in Mathematics, vol.113, issue.470, p.pp, 1991. ,
DOI : 10.1007/978-1-4612-0949-2
Markov-Komposition und eine Anwendung auf Martingale, Math. Ann, pp.99-122, 1972. ,
DOI : 10.1007/BF01432281
Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, The Annals of Probability, vol.19, issue.3, pp.1035-1070, 1991. ,
DOI : 10.1214/aop/1176990334
Numerical solution of stochastic differential equations, Applications of Mathematics, vol.23, 1992. ,
Sur la convergence des réduites, Annales de l'IHP, pp.331-366, 1990. ,
Optimal stopping and American options, Ljubljana Summer School on Financial Mathematics, 2009. ,
Convexity and well-posed problems, CMS books in Mathematics, p.305, 2006. ,
DOI : 10.1007/0-387-31082-7
Propagation of convexity by Markovian and Martingalian semi-groups, Potential Analysis, pp.133-199, 1999. ,
MartingalesàMartingalesà temps discret, Masson, Paris, 218 pp. English translation: Discreteparameter martingales, p.236, 1972. ,
Introduction to Numerical Probability and Applications to Finance, to appear, coll. Universitext, Springer. Preliminary version available at www, 2014. ,
Functional co-monotony of processes with an application to peacocks, LNM 2078, pp.365-400, 2013. ,
Stochastic Integration and Differential Equation, coll. Stochastic Modeling and Applied Probability 21, p.pp, 2006. ,
Continuous martingales and Brownian motion, Fundamental Principles of Mathematical Sciences], vol.293, 1999. ,
Lévy distributions and Infinitely Divisible Distributions, Cambridge studies in advanced mathematics, 1999. ,
Optimal Stopping rules, Optimal stopping rules. (Translated from the 1976 Russian second edition by A. B. Aries.) Reprint of the 1978 translation, Stochastic Modeling and Applied Probability, vol.8, 2008. ,