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Roma, Antonio - In: Economic notes : economic review of Banca Monte dei … 29 (2000) 3, pp. 341-354

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A thermodynamical view on asset pricing

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Financial and thermodynamic equilibrium

Roma, Antonio - 2000

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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...

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Malliavin differentiability of CEV-type Heston model

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Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

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[Rezension von: Elliott, Robert J. ..., Mathematics of financial markets]

Cvitanić, Jakša - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 995-996

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An introduction to mathematical finance : options and other topics

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