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Locally phi-integrable sigma-martingale densities for general semimartingales
Choulli, Tahir; Schweizer, Martin - 2015 - This version: 22.5.2015
A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z0 starting at 1 such that the product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage property of S, and it is invariant if we replace the...
Persistent link: https://www.econbiz.de/10011296922
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Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota - In: Journal of mathematical finance 10 (2020) 1, pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
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On the inverse problem of Dupire's education with nonlocal boundary and integral conditions
Guler, Coskun; Oban, Volkan - In: Journal of mathematical finance 7 (2017) 4, pp. 934-940
Persistent link: https://www.econbiz.de/10011859946
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On singular control for Lévy processes
Noba, Kei; Yamazaki, Kazutoshi - In: Mathematics of operations research 48 (2023) 3, pp. 1213-1234
Persistent link: https://www.econbiz.de/10014329210
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A herding perspective on global games and multiplicity
Costain, James (contributor) - In: The B.E. journal of theoretical economics 7 (2007) 1, pp. 1-53
Persistent link: https://www.econbiz.de/10003738160
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Life is cheap : using mortality bonds to hedge aggregate mortality risk
Friedberg, Leora (contributor); Webb, Anthony (contributor) - In: The B.E. journal of economic analysis & policy 7 (2007) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10003741708
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Equilibrium allele distribution in trading populations
Saint-Paul, Gilles - 2006
Persistent link: https://www.econbiz.de/10003322497
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Marketwide private information in stocks : forecasting currency returns
Albuquerque, Rui; De Francisco, Eva; Marques, Luis - 2006
Persistent link: https://www.econbiz.de/10003322634
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Boosting your instruments : estimation with overidentifying inequality moment conditions
Moon, Hyungsik Roger; Schorfheide, Frank - 2006
Persistent link: https://www.econbiz.de/10003322830
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New Eurocoin : tracking economic growth in real time
Altissimo, Filippo; Cristadoro, Riccardo; Forni, Mario; … - 2006
Persistent link: https://www.econbiz.de/10003322866