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Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

diffusion processes and by a Markov chain. Based on the semimartingale characterization of Markov chains we apply the Hamilton …

Persistent link: https://www.econbiz.de/10011475639

Polynomial semimartingales and a deep learning approach to local stochastic volatility calibration

Khosrawi-Sardroudi, Wahid - 2019

Abstract: Financial markets have experienced a precipitous increase in complexity over the past decades, posing a significant challenge from a risk management point of view. This complexity motivates the application and development of sophisticated models based on the theory of stochastic...

Persistent link: https://www.econbiz.de/10012145411

Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

Leitner, Johannes - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001626257

On the pricing and hedging of credit risk in incomplete markets

Lotz, Christopher - 2000

Persistent link: https://www.econbiz.de/10001481836

Constrained portfolio optimization

Müller, Stephan - 2005

The thesis considers an investor's problem of optimal consumption and portfolio choice in a financial market. The model used for the financial market is the semimartingales model. The thesis shows that an optimal solution to this problem exists, even if the investor is contrained in the...

Persistent link: https://www.econbiz.de/10002742689

Aspekte unendlichdimensionaler Martingaltheorie und ihre Anwendung in der Theorie der Finanzmärkte

Schöckel, Thomas - 2004

space H. In this setting we show the equivalence of market completeness and the uniqueness of the equivalent martingale … reference measure to a unique, locally equivalent, martingale measure. If X has continuous paths, the absence of general … asymptotic arbitrage is equivalent to the existence of an equivalent local martingale measure. Furthermore, we give a sufficient …

Persistent link: https://www.econbiz.de/10002538876