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A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer
9 references·5 citing·42 second hop
A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer (2002)A Filtered Version of the Bipolar Theorem…A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)A Compactness Principle for B…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optional decompositions under constraints (1997)Optional decompositions under…Optional decomposition and Lagrange multipliers (1997)Optional decomposition and La…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Convergence to the mean field game limit: A case study (2020)Convergence to the mean field…Utility maximization with addictive consumption habit formation in incomplete semimartingale markets (2015)Utility maximization with add…The existence of dominating local martingale measures (2015)The existence of dominating l…On the closure in the Emery topology of semimartingale wealth-process sets (2013)On the closure in the Emery t…The opportunity process for optimal consumption and investment with power utility (2010)The opportunity process for o…Continuous Martingales and Brownian Motion (1999)On optimal terminal wealth under transaction costs (2001)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2010)Robust superhedging with jumps and diffusion (2015)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Processes of normal inverse Gaussian type (1997)Asymptotic arbitrage in large financial markets (1998)Optimal consumption choice with intertemporal substitution (2001)Risk measure pricing and hedging in incomplete markets (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Bank Runs, Deposit Insurance, and Liquidity (1983)Multimarket Oligopoly: Strategic Substitutes and Complements (1985)Mean field games (2007)Monotone solutions for mean field games master equations: finite state space and optimal stopping (2021)Closed-loop convergence for mean field games with common noise (2023)Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data (2024)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Convex risk measures and the dynamics of their penalty functions (2006)PORTFOLIO CHOICE VIA QUANTILES (2010)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1997Optional decompositions under constraints220 cited
  • 1997Optional decomposition and Lagrange multipliers149 cited
  • 1999A Compactness Principle for Bounded Sequences of Martingales with Applications68 cited

Cited by

  • 2020Convergence to the mean field game limit: A case study33 cited
  • 2015Utility maximization with addictive consumption habit formation in incomplete semimartingale markets33 cited
  • 2010The opportunity process for optimal consumption and investment with power utility32 cited
  • 2013On the closure in the Emery topology of semimartingale wealth-process sets30 cited
  • 2015The existence of dominating local martingale measures23 cited

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