SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
16 references·1 citing·33 second hop
NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT (2009)NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIA…The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A General Version of the Fund…The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…The numeraire portfolio for unbounded semimartingales (2001)The numeraire portfolio for u…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…On the range of options prices (1997)On the range of options pricesArbitrage possibilities in Bessel processes and their relations to local martingales (1995)Arbitrage possibilities in Be…Equivalent martingale measures and no-arbitrage (1994)Equivalent martingale measure…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…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…Minimizing the Expected Market Time to Reach a Certain Wealth Level (2010)Minimizing the Expected Marke…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Volatility for Lévy Processes (2003)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Backward Stochastic Differential Equations in Finance (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Affine processes and applications in finance (2003)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Methods of Mathematical Finance (1998)Stochastic Portfolio Theory: an Overview (2009)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Universal Portfolios (1991)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Prediction, Learning, and Games (2006)Arbitrage Theory in Continuous Time (1998)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2003Limit Theorems for Stochastic Processes2,548 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2006A 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
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited
  • 1994Couverture des actifs contingents et prix maximum152 cited
  • 1997On the range of options prices149 cited
  • 2001The numeraire portfolio for unbounded semimartingales142 cited
  • 1995Arbitrage possibilities in Bessel processes and their relations to local martingales

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

132 cited
  • 1994Equivalent martingale measures and no-arbitrage130 cited
  • Cited by

    • 2010Minimizing the Expected Market Time to Reach a Certain Wealth Level15 cited