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Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Kassberger, Stefan; Liebmann, Thomas - In: Finance and stochastics 15 (2011) 1, pp. 117-140
Persistent link: https://www.econbiz.de/10008824130
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Hedging derivatives
Rheinländer, Thorsten; Sexton, Jenny - 2011
Persistent link: https://www.econbiz.de/10009233654
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The minimal entropy martingale measure and the valuation problem in incomplete markets
Frittelli, Marco - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 39-52
Persistent link: https://www.econbiz.de/10002177131
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Stochastic volatility models, correlation, and the q-optimal measure
Hobson, David G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556
Persistent link: https://www.econbiz.de/10002396346
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Hedging Derivatives.
Sexton, Jenny - 2011
Key Features:Unique focus on hedging and optimal martingale measuresIncludes new developments about static and dynamic ….2.6 Optimal martingale measures -- 1.3 Notes and further reading -- 2. Stochastic Calculus -- 2.1 Filtrations and martingales -- 2 …
Persistent link: https://www.econbiz.de/10012689402
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Change of time and change of measure
Barndorff-Nielsen, Ole E.; Širjaev, Alʹbert N. - 2010
Persistent link: https://www.econbiz.de/10009237173
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Estimating the stationary distribution of a Markov chain
Athreya, Krishna B.; Majumdar, Mukul - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 729-742
Persistent link: https://www.econbiz.de/10001732965
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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A statistical equilibrium model of competitive firms
Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - 2008
We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...
Persistent link: https://www.econbiz.de/10003728708
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A statistical equilibrium model of competitive firms
Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - In: Journal of economic dynamics & control 36 (2012) 1, pp. 136-149
Persistent link: https://www.econbiz.de/10009422348