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About stochastic calculus in presence of jumps at predictable stopping times

Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456

Persistent link: https://www.econbiz.de/10011583560

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704

Persistent link: https://www.econbiz.de/10011531314

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

Randomised mixture models for pricing kernels

Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315

Persistent link: https://www.econbiz.de/10010511573

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Superreplication under model uncertainty in discrete time

Nutz, Marcel - In: Finance and stochastics 18 (2014) 4, pp. 791-803

Persistent link: https://www.econbiz.de/10010416246

Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Polynomial preserving diffusions and applications in finance

Filipović, Damir; Larsson, Martin - 2014

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and electricity. Uniqueness of polynomial...

Persistent link: https://www.econbiz.de/10010442937

Martingale optimal transport in the Skorokhod space

Dolinsky, Yan; Soner, Halil Mete - 2014

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag …

Persistent link: https://www.econbiz.de/10011293818

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 Z>0 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 … there exists a P-sigma-martingale density for S. Can we find another P-sigma-martingale density for S having some extra …

Persistent link: https://www.econbiz.de/10011296922