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Weak tail conditions for local martingales
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Weak tail conditions for local martingales (2019)Weak tail conditions for local martingalesOn the martingale property of certain local martingales (2010)On the martingale property of…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…No Arbitrage and General Semimartingales (2008)No Arbitrage and General Semi…Options and Bubbles (2006)Options and BubblesStochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and absolutely con…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Complications with stochastic volatility models (1998)Complications with stochastic…Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)Arbitrage possibilities in Be…Sur l'int�grabilit� uniforme des martingales exponentielles (1978)Sur l'int�grabilit� uniforme …On an Identity for Stochastic Integrals (1973)On an Identity for Stochastic…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Maximum likelihood estimation of stochastic volatility models (2006)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)The Pricing of Options on Assets with Stochastic Volatilities (1987)Moment explosions in stochastic volatility models (2006)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Limit Theorems for Stochastic Processes (1987)Continuous Martingales and Brownian Motion (1991)A complete explicit solution to the log-optimal portfolio problem (2003)Time-changed Lévy processes and option pricing (2003)Arbitrage Theory in Continuous Time (2004)On Square Integrable Martingales (1967)Stochastic Differential Equations (1972)Les Aspects Probabilistes Du Controle Stochastique (1981)On the minimal martingale measure and the möllmer-schweizer decomposition (1995)Stochastic Differential Equations (2006)On a Formula Concerning Stochastic Differentials (1951)Martingales and arbitrage in multiperiod securities markets (1979)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Theory of Rational Option Pricing (1973)Noise Trader Risk in Financial Markets (1990)Theory of rational option pricing (2005)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Is Bitcoin a bubble? (2018)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Common Failings: How Corporate Defaults Are Correlated (2007)Frailty Correlated Default (2009)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)
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References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2003Limit Theorems for Stochastic Processes2,652 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures731 cited
  • 2005Stochastic Integration and Differential Equations. Second Edition.330 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
  • 2005Local martingales, bubbles and option prices234 cited
  • 2006Options and Bubbles206 cited
  • 1978Sur l'int�grabilit� uniforme des martingales exponentielles162 cited
  • 1998Complications with stochastic volatility models157 cited
  • 1995Arbitrage possibilities in Bessel processes and their relations to local martingales132 cited
  • 2010On the martingale property of certain local martingales120 cited
  • 1973On an Identity for Stochastic Integrals106 cited
  • 2008No Arbitrage and General Semimartingales96 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes

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