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Filtration shrinkage, the structure of deflators, and failure of market completeness
Kardaras, Constantinos; Ruf, Johannes - In: Finance and stochastics 24 (2020) 4, pp. 871-901
Persistent link: https://www.econbiz.de/10012518123
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
Persistent link: https://www.econbiz.de/10013187807
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Ambit Processes and Stochastic Partial Differential Equations
Barndorff-Nielsen, Ole E. - 2010
. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of …
Persistent link: https://www.econbiz.de/10013144202
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On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions
Bernard, Carole - 2014
martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi c and Urusov (2012c) give … martingale property of the stock price process in correlated stochastic volatility models, we extend their work to the arbitrary …
Persistent link: https://www.econbiz.de/10013062701
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Single observation adaptive search for discrete and continuous stochastic optimization
Kiatsupaibul, Seksan; Smith, Robert L.; Zabinsky, Zelda B. - In: Operations research letters 48 (2020) 5, pp. 666-673
Persistent link: https://www.econbiz.de/10012303435
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Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; … - In: Finance and stochastics 24 (2020) 2, pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
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Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien; Labart, Celine; Lelong, Jerome - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394
Persistent link: https://www.econbiz.de/10011577160
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Optimal investment strategies for participating contracts
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 73 (2017), pp. 137-155
Persistent link: https://www.econbiz.de/10011702060
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
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Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 526-569
Persistent link: https://www.econbiz.de/10011987890