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~isPartOf:"International journal of financial engineering"
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Search: subject_exact:"Martingal"
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Martingal
98
Martingale
98
Theorie
61
Theory
61
Option pricing theory
36
Optionspreistheorie
36
Portfolio selection
32
Portfolio-Management
32
Stochastic process
24
Stochastischer Prozess
24
CAPM
17
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13
Incomplete market
12
Mathematical programming
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Unvollkommener Markt
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11
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Volatilität
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10
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Optionsgeschäft
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Derivat
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Derivative
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Entropie
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Entropy
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Fundamental theorem of asset pricing
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Zinsstruktur
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Risk
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Article
98
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98
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English
98
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Choulli, Tahir
5
Fontana, Claudio
4
Hobson, David G.
4
Jeanblanc, Monique
4
Kabanov, Jurij M.
4
Kardaras, Constantinos
4
Deng, Jun
3
Frittelli, Marco
3
Nutz, Marcel
3
Obłój, Jan
3
Ruf, Johannes
3
Aksamit, Anna
2
Bender, Christian
2
Biagini, Francesca
2
Carr, Peter
2
Cox, Alexander M. G.
2
Denis, Emmanuel
2
Eberlein, Ernst
2
Hou, Zhaoxu
2
Jacod, Jean
2
Karatzas, Ioannis
2
Larsen, Kasper
2
Mania, Michael
2
Møller, Thomas
2
Rüschendorf, Ludger
2
Santacroce, Marina
2
Schachermayer, Walter
2
Song, Shiqi
2
Širjaev, Alʹbert N.
2
Ackermann, Julia
1
Andersen, Leif B. G.
1
Arai, Takuji
1
Azevedo, N.
1
Bank, Peter
1
Bartl, Daniel
1
Bayraktar, Erhan
1
Becherer, Dirk
1
Beiglböck, Mathias
1
Bentata, Amel
1
Benth, Fred Espen
1
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Finance and stochastics
International journal of financial engineering
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
International journal of theoretical and applied finance
41
Journal of econometrics
38
Annals of finance
16
Applied mathematical finance
15
Mathematics and financial economics
15
Journal of mathematical finance
13
Mathematical methods of operations research
13
Asia-Pacific financial markets
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
European journal of operational research : EJOR
9
Mathematics of operations research
9
Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Insurance / Mathematics & economics
8
Journal of economic dynamics & control
8
Econometric theory
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
7
Economics letters
7
International review of financial analysis
7
Mathematical finance : an international journal of mathematics, statistics and financial economics
7
Quantitative finance
7
Risks : open access journal
7
The journal of futures markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Econometric reviews
6
Finance research letters
6
Journal of mathematical economics
6
The review of financial studies
6
Journal of banking & finance
5
Operations research letters
5
Review of derivatives research
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Quantitative economics : QE ; journal of the Econometric Society
4
Annals of economics and finance
3
Energy economics
3
International journal of theoretical and applied finance : IJTAF
3
Journal of empirical finance
3
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
98
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1
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10
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98
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1
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro
;
Frittelli, Marco
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 255-304
Persistent link: https://www.econbiz.de/10014253636
Saved in:
2
Optional projection under equivalent local martingale measures
Biagini, Francesca
;
Mazzon, Andrea
;
Perkkiö, Ari-Pekka
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 435-465
Persistent link: https://www.econbiz.de/10014253651
Saved in:
3
From Bachelier to Dupire via optimal transport
Beiglböck, Mathias
;
Pammer, Gudmund
;
Schachermayer, Walter
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
Saved in:
4
Bubbles in discrete-time models
Herdegen, Martin
;
Kreher, Dörte
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 899-925
Persistent link: https://www.econbiz.de/10013440256
Saved in:
5
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
Saved in:
6
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Saved in:
7
Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel
;
Wiesel, Johannes
;
Zhao, Long
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
Saved in:
8
Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir
;
Yansori, Sina
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
Saved in:
9
A continuous-time asset market game with short-lived assets
Zhitlukhin, M. V.
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 587-630
Persistent link: https://www.econbiz.de/10013440236
Saved in:
10
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
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