SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Representation of Martingales with Jumps and Applications to Mathematical Finance
4 references·2 citing·23 second hop
Representation of Martingales with Jumps and Applications to Mathematical Finance (2019)Representation of Martingales with Jumps …Hedging of Contingent Claims under Transaction Costs (2002)Hedging of Contingent Claims …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Lectures on the Mathematics of Finance (1996)Lectures on the Mathematics o…On Square Integrable Martingales (1967)On Square Integrable Martinga…Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps (2010)Bismut–Elworthy–Li-Type Formu…RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009)RISK INDIFFERENCE PRICING IN …A general version of the fundamental theorem of asset pricing (1994)Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)A geometric approach to portfolio optimization in models with transaction costs (2004)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Hedging of American options under transaction costs (2008)Multivariate utility maximization with proportional transaction costs (2010)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Lévy Processes and Stochastic Calculus (2004)On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework (2012)Stochastic Differential Equations and Diffusion Processes (1983)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (2010)Catastrophe Risk Bonds (2000)Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach (2002)Optimal investment decisions when time-horizon is uncertain (2008)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)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1998Methods of Mathematical Finance888 cited
  • 1967On Square Integrable Martingales617 cited
  • 1996Lectures on the Mathematics of Finance180 cited
  • 2002Hedging of Contingent Claims under Transaction Costs47 cited

Cited by

  • 2009RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS38 cited
  • 2010Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps37 cited

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