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Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
3 references·9 citing·28 second hop
Doob's maximal identity, multiplicative decompositions and enlargements of filtrations (2006)Doob's maximal identity, multiplicative d…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Study of a filtration expanded to include an honest time (1978)Study of a filtration expande…PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING (2015)PROGRESSIVE FILTRATION EXPANS…Processes of Class Sigma, Last Passage Times, and Drawdowns (2012)Processes of Class Sigma, Las…On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation (2012)On Azéma–Yor processes, their…Random times with given survival probability and their F -martingale decomposition formula (2011)Random times with given survi…An explicit model of default time with given survival probability (2011)An explicit model of default …Numéraire-invariant preferences in financial modeling (2010)Numéraire-invariant preferenc…HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES (2010)HAZARD PROCESSES AND MARTINGA…Option prices as probabilities (2008)Option prices as probabilitiesA class of remarkable submartingales (2006)A class of remarkable submart…Continuous Auctions and Insider Trading (1985)Insider Trading in Continuous Time (1992)Continuous Martingales and Brownian Motion (1991)Optional splitting formula in a progressively enlarged filtration (2014)DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (2016)A Benchmark Approach to Quantitative Finance (2006)The Skorokhod embedding problem and its offspring (2004)Drawdowns and the Speed of Market Crash (2011)Semi-Martingales et Grossissement d’une Filtration (1980)What happens after a default: The conditional density approach (2010)UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (2015)Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)Grossissement d’une filtration et semi-martingales : Formules explicites (1978)STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)Un Cours sur les Intégrales Stochastiques (2002)Progressive enlargement of filtrations with initial times (2009)On arbitrages arising with honest times (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation (2009)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)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)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1978Study of a filtration expanded to include an honest time104 cited

Cited by

  • 2006A class of remarkable submartingales44 cited
  • 2008Option prices as probabilities38 cited
  • 2011An explicit model of default time with given survival probability35 cited
  • 2011Random times with given survival probability and their F -martingale decomposition formula31 cited
  • 2012Processes of Class Sigma, Last Passage Times, and Drawdowns30 cited
  • 2012On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation26 cited
  • 2015PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING25 cited
  • 2010Numéraire-invariant preferences in financial modeling25 cited
  • 2010HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES23 cited

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