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Stability of the exponential utility maximization problem with respect to preferences

Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 38-67

Persistent link: https://www.econbiz.de/10011739439

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

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

Properly discounted asset prices are semimartingales

Bálint, Dániel; Schweizer, Martin - 2019 - This version: October 3, 2019

not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a … strategy with positive wealth must follow semimartingales. We also establish a corresponding version of the fundamental theorem …

Persistent link: https://www.econbiz.de/10012134260

Properly discounted asset prices are semimartingales

Bálint, Dániel; Schweizer, Martin - In: Mathematics and financial economics 14 (2020) 4, pp. 661-674

Persistent link: https://www.econbiz.de/10012321854

Gambler's ruin problem and bi-directional grid constrained trading and investment strategies

Taranto, Aldo; Khan, Shahjahan - In: Investment management and financial innovations 17 (2020) 3, pp. 54-66

Persistent link: https://www.econbiz.de/10012405536

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

Semimartingale price systems in models with transaction costs beyond efficient friction

Kühn, Christoph; Molitor, Alexander - In: Finance and Stochastics 26 (2022) 4, pp. 927-982

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation as they usually appear in frictionless markets. In this paper, we show how the models with and...

Persistent link: https://www.econbiz.de/10015272809

Semimartingale price systems in models with transaction costs beyond efficient friction

Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 26 (2022) 4, pp. 927-982

Persistent link: https://www.econbiz.de/10013440257

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807