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Search: subject:"martingale measures"
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Martingale measures
11
Martingal
10
Martingale
10
martingale measures
10
Arbitrage
6
CAPM
5
Option pricing theory
5
Optionspreistheorie
5
Equivalent martingale measures
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equivalent martingale measures
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pricing
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2
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Spekulationsblase
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algorithmic traders
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arbitrage opportunities
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electronic trading
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Jarrow, Robert
3
Jarrow, Robert A.
3
Biagini, Francesca
2
Föllmer, Hans
2
Jacod, Jean
2
Li, Hao
2
Nedelcu, Sorin
2
Protter, Philip
2
Protter, Philip E.
2
Rásonyi, Miklós
2
(*), S. G. Kou
1
Azevedo, N.
1
Bartl, Daniel
1
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Bellamy, N.
1
Cardaliaguet, Pierre
1
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1
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1
Florio, Silvia
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Hubalek, Friedrich
1
JARROW, ROBERT
1
JARROW, ROBERT A.
1
JEANBLANC, MONIQUE
1
Jeanblanc, M.
1
Jeanblanc, Monique
1
Karatzas, Ioannis
1
Kassberger, Stefan
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Kupper, Michael
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LENIEC, MARTA
1
Leniec, Marta
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Loewenstein, Mark
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Neufeld, Ariel
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Owari, Keita
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PROTTER, PHILIP
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Pinheiro, D.
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Finance and Stochastics
9
International journal of theoretical and applied finance
3
Finance and stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Annals of Financial Economics (AFE)
1
Applied Mathematical Finance
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Asia-Pacific Financial Markets
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Dynamic Games and Applications
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Quarterly Journal of Finance (QJF)
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Review of Derivatives Research
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RePEc
21
ECONIS (ZBW)
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1
Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique
;
Leniec, Marta
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
Saved in:
2
ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS
JEANBLANC, MONIQUE
;
LENIEC, MARTA
- In:
International Journal of Theoretical and Applied …
18
(
2015
)
01
,
pp. 1550007-1
equivalent
martingale
measures
in three cases and, when needed, we choose one of them using f-divergence approach. …
Persistent link: https://www.econbiz.de/10011279132
Saved in:
3
Duality for pathwise superhedging in continuous time
Bartl, Daniel
;
Kupper, Michael
;
Prömel, David Johannes
; …
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 697-728
Persistent link: https://www.econbiz.de/10012023763
Saved in:
4
Super-replication in fully incomplete markets
Dolinsky, Yan
;
Neufeld, Ariel
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 483-515
Persistent link: https://www.econbiz.de/10011969096
Saved in:
5
Who would invest only in the risk-free asset?
Azevedo, N.
;
Pinheiro, D.
;
Xanthopoulos, S. Z.
; …
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011923046
Saved in:
6
Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
7
Shifting
martingale
measures
and the birth of a bubble as a submartingale
Biagini, Francesca
;
Föllmer, Hans
;
Nedelcu, Sorin
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
Saved in:
8
The two fundamental theorems of asset pricing for a class of continuous-time financial markets
Lyasoff, Andrew
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 485-504
Persistent link: https://www.econbiz.de/10010486019
Saved in:
9
Shifting
martingale
measures
and the birth of a bubble as a submartingale
Biagini, Francesca
;
Föllmer, Hans
;
Nedelcu, Sorin
- In:
Finance and Stochastics
18
(
2014
)
2
,
pp. 297-326
In an incomplete financial market model, we study a flow in the space of equivalent
martingale
measures
and the …
Persistent link: https://www.econbiz.de/10010997053
Saved in:
10
Abnormal profit opportunities and the informational advantage of high frequency trading
Jarrow, Robert A.
;
Li, Hao
- In:
The quarterly journal of finance
3
(
2013
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10010245481
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