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No Arbitrage without Semimartingales
16 references·0 citing·35 second hop
No Arbitrage without Semimartingales (2009)No Arbitrage without SemimartingalesIntroduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Specification Analysis of Opt…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…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…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)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 arbitrage in multiperiod securities markets (1979)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)Arbitrage Theory in Continuous Time (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Fluctuations of Lévy Processes with Applications (2014)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)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)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
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  • 2004Liquidity risk and arbitrage pricing theory285 cited
  • 2010

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Liquidity Risk and Arbitrage Pricing Theory
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