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Minimal Martingale Measure
16 references·0 citing·46 second hopsampled
Minimal Martingale Measure (2010)Minimal Martingale MeasureA Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Towards a General Theory of Good-Deal Bounds (2006)Towards a General Theory of G…Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets (2003)Generalised Sharpe Ratios and…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002)Risk-Sinsitive Dynamic Portfo…Real options with constant relative risk aversion (2002)Real options with constant re…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…The numeraire portfolio for unbounded semimartingales (2001)The numeraire portfolio for u…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …Mean-variance hedging for continuous processes: New proofs and examples (1998)Mean-variance hedging for con…Complications with stochastic volatility models (1998)Complications with stochastic…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)Approximating Random Variables by Stochastic Integrals (1994)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Stochastic Integration and Differential Equations (2005)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)Approximation pricing and the variance-optimal martingale measure (1996)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)Brownian Motion and Stochastic Calculus (2007)On the martingale property of certain local martingales (2010)A Mathematical Theory of Financial Bubbles (2013)Optimal replication of contingent claims under transaction costs (1989)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Option pricing when underlying stock returns are discontinuous (1976)Point Processes and Queues (1981)Limit Theorems for Stochastic Processes (1987)Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (2011)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Variance-Optimal Hedging in Discrete Time (1995)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)
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References

  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1991Option hedging for semimartingales379 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 2006Towards a General Theory of Good-Deal Bounds162 cited
  • 1998Complications with stochastic volatility models157 cited
  • 2003Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets154 cited
  • 2002Real options with constant relative risk aversion151 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2001The numeraire portfolio for unbounded semimartingales142 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon

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