Details about Marc Decamps

Access statistics for papers by Marc Decamps.

Last updated 2009-04-13. Update your information in the RePEc Author Service.

Short-id: pde206

Working Papers

2002

1. Transition probabilities for diffusion equations by means of path integrals
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)

Undated

2. Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries
   Working Papers, University of Antwerp, Faculty of Business and Economics

Journal Articles

2010

1. Edgeworth expansions of stochastic trading time
   Physica A: Statistical Mechanics and its Applications, 2010, 389, (16), 3179-3192 View citations (1)

2009

2. Spectral decomposition of optimal asset-liability management
   Journal of Economic Dynamics and Control, 2009, 33, (3), 710-724 View citations (3)

2006

3. A path integral approach to asset-liability management
   Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 404-416 View citations (10)
4. SELF EXCITING THRESHOLD INTEREST RATES MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (07), 1093-1122 View citations (12)

2005

5. Pricing Exotic Options under Local Volatility
   Review of Business and Economic Literature, 2005, L, (1), 49-68

2004

6. Applications of δ-function perturbation to the pricing of derivative securities
   Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 677-692 View citations (9)