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A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation
Li, Minqiang - 2009
martingale pricing approach. Damping can be done on either the diffusion or drift function. Oftentimes, certain solutions to the … valuation PDE can be ruled out by requiring the solution to be a limit of martingale prices for damped diffusion models. Monte …
Persistent link: https://www.econbiz.de/10013155898
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A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation
Li, Minqiang - 2010
martingale pricing approach. Damping can be done on either the diffusion or drift function. Oftentimes, certain solutions to the … valuation PDE can be ruled out by requiring the solution to be a limit of martingale prices for damped diffusion models. Monte …
Persistent link: https://www.econbiz.de/10013148117
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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - 2012
equivalent sigma-martingale measure for the price process, and the equivalence of no arbitrage of the fi rst kind to the … existence of an equivalent local martingale deflator for the set of non negative wealth processes …
Persistent link: https://www.econbiz.de/10009554744
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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
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A result on integral functionals with infinitely many constraints
Choulli, Tahir; Schweizer, Martin - 2015 - This version: 14.09.2015
A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are...
Persistent link: https://www.econbiz.de/10011412336
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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 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
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Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims
Abergel, Frederic - 2013
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...
Persistent link: https://www.econbiz.de/10013087739
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Pricing of Defaultable Claims in a Semi Martingale Setting
Prohl, Silke - 2016
This paper studies pricing of default able claims in a semi martingale setting …
Persistent link: https://www.econbiz.de/10012989665
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The mathematics of arbitrage
Delbaen, Freddy; Schachermayer, Walter - 2008 - Corrected 2. printing
Persistent link: https://www.econbiz.de/10003896513
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The mathematics of arbitrage
Delbaen, Freddy; Schachermayer, Walter - 2006
Persistent link: https://www.econbiz.de/10002123958