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Li, Jia
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1
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:
2
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
3
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
4
Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun
- In:
Computational economics
61
(
2023
)
3
,
pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
Saved in:
5
No free lunch for markets with multiple numéraires
Carassus, Laurence
- In:
Journal of mathematical economics
104
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014231303
Saved in:
6
Belief convergence under misspecified learning : a martingale approach
Frick, Mira
;
Iijima, Ryota
;
Ishii, Yuhta
- In:
The review of economic studies : RES
90
(
2023
)
2
,
pp. 781-814
Persistent link: https://www.econbiz.de/10014320092
Saved in:
7
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun
;
Capponi, Agostino
;
Zhou, Chao
- In:
Mathematics of operations research
48
(
2023
)
1
,
pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Saved in:
8
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:
9
PDEs for reflected BSDENMs applied to American options
El Jamali, Mohamed
;
Tayeq, Hatim
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014500190
Saved in:
10
Evolution of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis : a case of India
Pandey, Richa
;
Jessica, V. Mary
- In:
Property management
40
(
2022
)
1
,
pp. 17-28
Persistent link: https://www.econbiz.de/10013169931
Saved in:
11
Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE
Marashdeh, Hazem
;
Ashraf, Sania
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
12
(
2022
)
3
,
pp. 279-290
Persistent link: https://www.econbiz.de/10013326345
Saved in:
12
On exchange rate predictability and adaptive market hypothesis in South Africa
Tweneboah, George
;
Asamoah, Michael Effah
;
Owusu …
- In:
Journal of African business
23
(
2022
)
4
,
pp. 984-1008
Persistent link: https://www.econbiz.de/10013417091
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13
When Tether says "jump!" Bitcoin asks "how low?"
Grobys, Klaus
;
Toan Luu Duc Huynh
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013459823
Saved in:
14
Testing for the martingale difference hypothesis in multivariate time series models
Wang, Guochang
;
Zhu, Ke
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 980-994
Persistent link: https://www.econbiz.de/10013539404
Saved in:
15
Quadratic hedging of risk neutral values
Secomandi, Nicola
- In:
Energy economics
112
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013350771
Saved in:
16
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
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17
Distributionally robust inventory control when demand is a martingale
Xin, Linwei
;
Goldberg, David Alan
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2387-2414
Persistent link: https://www.econbiz.de/10013375068
Saved in:
18
Operations revenue insurance
Guiotto, Paolo
;
Roncoroni, Andrea
;
Tédongap, Roméo
- In:
Thought-leadership in supply chain finance and risk …
,
(pp. 27-52)
.
2022
Persistent link: https://www.econbiz.de/10013334716
Saved in:
19
Simple pricing schemes for consumers with evolving values
Chawla, Shuchi
;
Devanur, Nikhil
;
Karlin, Anna R.
; …
- In:
Games and economic behavior
134
(
2022
),
pp. 344-360
Persistent link: https://www.econbiz.de/10013341481
Saved in:
20
Unified M-estimation of matrix exponential spatial dynamic panel specification
Yang, Ye
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 729-748
Persistent link: https://www.econbiz.de/10013364904
Saved in:
21
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
22
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:
23
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:
24
A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
5
,
pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
Saved in:
25
Testing the eigenvalue structure of spot and integrated covariance
Dovonon, Prosper
;
Taamouti, Abderrahim
;
Williams, Julian
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 363-395
Persistent link: https://www.econbiz.de/10013441888
Saved in:
26
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
27
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
Saved in:
28
An upper bound for the ℓ1-variation along the road to agreement
Shaiderman, Dimitry
- In:
International journal of game theory
50
(
2021
)
4
,
pp. 1053-1067
Persistent link: https://www.econbiz.de/10012665459
Saved in:
29
Adaptive market hypothesis : the story of the stock markets and COVID-19 pandemic
Okorie, David Iheke
;
Lin, Boqiang
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012822166
Saved in:
30
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
31
Indifference pricing of insurance-linked securities in a multi-period model
Liu, Haibo
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
European journal of operational research : EJOR
289
(
2021
)
2
,
pp. 793-805
Persistent link: https://www.econbiz.de/10012416884
Saved in:
32
Martingale transport with homogeneous stock movements
Eckstein, Stephan
;
Kupper, Michael
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 271-280
Persistent link: https://www.econbiz.de/10012424589
Saved in:
33
A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning
;
Yang, Xuewei
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
Saved in:
34
Quadratic hedging for sequential claims with random weights in discrete time
Deng, Jun
;
Zou, Bin
- In:
Operations research letters
49
(
2021
)
2
,
pp. 218-225
Persistent link: https://www.econbiz.de/10012506620
Saved in:
35
Dynamics of state-wise prospective reserves in the presence of non-monotone information
Christiansen, Marcus C.
;
Furrer, Christian
- In:
Insurance / Mathematics & economics
97
(
2021
),
pp. 81-98
Persistent link: https://www.econbiz.de/10012491966
Saved in:
36
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio
;
Serrano, Rafael
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 775-809
Persistent link: https://www.econbiz.de/10012616858
Saved in:
37
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
38
Survival investment strategies in a continuous-time market model with competition
Zhitlukhin, M. V.
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012650248
Saved in:
39
Consistent upper price bounds for exotic options
Bäuerle, Nicole
;
Schmithals, Daniel Matthias
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
Saved in:
40
Spatial dynamic panel data models with correlated random effects
Li, Liyao
;
Yang, Zhenlin
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 424-454
Persistent link: https://www.econbiz.de/10012619244
Saved in:
41
Explicit representations for utility indifference prices
Hess, Markus
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
Saved in:
42
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.
;
Zhou, Xun Yu
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 331-358
Persistent link: https://www.econbiz.de/10012499731
Saved in:
43
Large portfolio losses in a turbulent market
Tang, Qihe
;
Tong, Zhiwei
;
Yang, Yang
- In:
European journal of operational research : EJOR
292
(
2021
)
2
,
pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
Saved in:
44
Robust arbitrage conditions for financial markets
Singh, Derek
;
Zhang, Shuzong
- In:
Operations research forum
2
(
2021
)
3
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012589911
Saved in:
45
Efficient two-step generalized empirical likelihood estimation and tests with martingale differences
Jin, Fei
;
Lee, Lung-fei
- In:
Econometric theory
37
(
2021
)
3
,
pp. 573-612
Persistent link: https://www.econbiz.de/10012593449
Saved in:
46
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.
;
Pirotte, Alain
;
Yang, Zhenlin
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 245-270
Persistent link: https://www.econbiz.de/10013275390
Saved in:
47
Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
Saved in:
48
Hedging derivatives on two assets with model risk
Matsumoto, Koichi
;
Shimizu, Keita
- In:
Asia Pacific financial markets
27
(
2020
)
1
,
pp. 83-95
Persistent link: https://www.econbiz.de/10012222377
Saved in:
49
No arbitrage in continuous financial markets
Criens, David
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 461-506
Persistent link: https://www.econbiz.de/10012240304
Saved in:
50
No-arbitrage commodity option pricing with market manipulation
Aïd, René
;
Callegaro, Giorgia
;
Campi, Luciano
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 577-603
Persistent link: https://www.econbiz.de/10012240320
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