The numeraire portfolio for unbounded semimartingales
Year of publication: |
2001
|
---|---|
Authors: | Becherer, Dirk |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 5.2001, 3, p. 327-341
|
Subject: | Portfolio-Management | Portfolio selection | CAPM | Theorie | Theory | Bewertung | Evaluation | Martingal | Martingale |
-
Generic existence and robust nonexistence of numéraires in finite dimensional securities markets
Girotto, Bruno, (2000)
-
On honest times in financial modeling
Nikeghbali, Ashkan, (2008)
-
Minimizing the expected market time to reach a certain wealth level
Kardaras, Constantinos, (2008)
- More ...
-
Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives
Becherer, Dirk, (2010)
-
Multiplicative Limit Order Markets with Transient Impact and Zero Spread
Becherer, Dirk, (2015)
-
Multilevel approximation of backward stochastic differential equations
Becherer, Dirk, (2014)
- More ...