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....

In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and...

This paper reformulates the stochastic string model of Santa-Clara and Sornette (2001) using stochastic calculus with continuous semimartingales. We present some new results, such as: a) the dynamics of the short-term interest rate, b) the PDE that must be satisfied by the bond price, and c) an...

We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]