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Hedging variance options on continuous semimartingales

Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207

Persistent link: https://www.econbiz.de/10003951494

On the hedging of options on exploding exchange rates

Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and stochastics 18 (2014) 1, pp. 115-144

Persistent link: https://www.econbiz.de/10010235456

A note on sufficient conditions for no arbitrage

Carr, Peter; Madan, Dilip B. - In: Finance research letters 2 (2005) 3, pp. 125-130

Persistent link: https://www.econbiz.de/10003099264

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Carr, Peter - 2011

The construction of martingales with given marginal distributions at given times is a recurrent problem in financial mathematics. From a theoretical point of view, this problem is well-known as necessary and sufficient conditions for the existence of such martingales have been described....

Persistent link: https://www.econbiz.de/10013132624

Asset price bubbles in incomplete markets

Jarrow, Robert A.; Protter, Philip E.; Shimbo, Kazuhiro - In: Mathematical finance : an international journal of … 20 (2010) 2, pp. 145-185

Persistent link: https://www.econbiz.de/10003955702

The meaning of market efficiency

Jarrow, Robert A.; Larsson, Martin - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009554696

A dysfunctional role of high frequency trading in electronic markets

Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10009624489

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

Discrete versus continuous time models : local martingales and singular processes in asset pricing theory

Jarrow, Robert A.; Protter, Philip - In: Finance research letters 9 (2012) 2, pp. 58-62

Persistent link: https://www.econbiz.de/10009615902

Foreign currency bubbles

Jarrow, Robert A.; Protter, Philip E. - In: Review of derivatives research 14 (2011) 1, pp. 67-83

Persistent link: https://www.econbiz.de/10009272490