SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Compactness Principle for Bounded Sequences of Martingales with Applications
15 references·7 citing·31 second hop
A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)A Compactness Principle for Bounded Seque…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…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…MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON (1994)MARTINGALE MEASURES FOR DISCR…Couverture des actifs contingents et prix maximum (1994)Couverture des actifs conting…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Espaces de semi martingales et changement de probabilit� (1980)Espaces de semi martingales e…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Martingale inequalities: seminar notes on recent progress (1973)Martingale inequalities: semi…On Square Integrable Martingales (1967)On Square Integrable Martinga…Dual representation of minimal supersolutions of convex BSDEs (2016)Dual representation of minima…Robust superhedging with jumps and diffusion (2015)Robust superhedging with jump…Minimal supersolutions of convex BSDEs (2013)Minimal supersolutions of con…INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2010)INDIFFERENCE PRICE WITH GENER…Utility Maximisation in Incomplete Markets (2004)Utility Maximisation in Incom…A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer (2002)A Filtered Version of the Bip…On optimal terminal wealth under transaction costs (2001)On optimal terminal wealth un…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)The Pricing of Options and Corporate Liabilities (1973)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)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)Theory of Rational Option Pricing (1973)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1967On Square Integrable Martingales617 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1973Martingale inequalities: seminar notes on recent progress257 cited
  • 1994MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON201 cited
  • 1994Couverture des actifs contingents et prix maximum152 cited
  • 1980Espaces de semi martingales et changement de probabilit�96 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2001On optimal terminal wealth under transaction costs48 cited
  • 2010INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES41 cited
  • 2015Robust superhedging with jumps and diffusion41 cited
  • 2002A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer38 cited
  • 2013Minimal supersolutions of convex BSDEs36 cited
  • 2004Utility Maximisation in Incomplete Markets28 cited
  • 2016Dual representation of minimal supersolutions of convex BSDEs24 cited