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A visual criterion for identifying Itô diffusions as martingalesor strict local martingales
Hulley, Hardy; Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10008662355
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Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
Kapetanios, George; Blake, Andrew P. - In: Econometric theory 26 (2010) 5, pp. 1363-1397
Persistent link: https://www.econbiz.de/10008662665
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M 6 : on minimal market models and minimal martingale measures ; [this paper is dedicated to Eckhard Platen on the occasion of his 60th birthday]
Hulley, Hardy; Schweizer, Martin - 2010
Persistent link: https://www.econbiz.de/10008663095
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The economic plausibility of strict local martingales in financial modelling
Hulley, Hardy - 2010
Persistent link: https://www.econbiz.de/10008663096
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On agent's agreement and partial-equilibrium pricing in incomplete markets
Anthropelos, Michail; Žitkovi´c, Gordan - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 411-446
Persistent link: https://www.econbiz.de/10008667062
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Modellierung derivater Finanzinstrumente : Theorie und Implementierung
Schlüchtermann, Georg; Pilz, Stefan - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008667230
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A closed-form solution for the continuous-time consumption model with endogenous labor income
Zhang, Aihua - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 149-167
Persistent link: https://www.econbiz.de/10008668126
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Asymptotic theory for M estimators for martingale differences with applications to GARCH models
Tinkl, Fabian - 2010
samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on … field of possible applications of this method. -- Hadamard differential ; M estimator ; von Mises Calculus ; martingale …
Persistent link: https://www.econbiz.de/10008697030
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Testing semiparametric conditional moment restrictions using conditional martingale transforms
Song, Kyungchul - In: Journal of econometrics 154 (2010) 1, pp. 74-84
Persistent link: https://www.econbiz.de/10003931787
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Local risk minimization for defaultable markets
Biagini, Francesca; Cretarola, Alessandra - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10003937549