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Martingal
98
Martingale
98
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61
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36
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36
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32
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32
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Choulli, Tahir
5
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International journal of financial engineering
Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
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41
Journal of econometrics
38
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ECONIS (ZBW)
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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11
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:
12
The value of informational arbitrage
Chau, Huy N.
;
Cosso, Andrea
;
Fontana, Claudio
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 277-307
Persistent link: https://www.econbiz.de/10012253351
Saved in:
13
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
Saved in:
14
The Riesz representation theorem and weak* compactness of semimartingales
Kiiski, Matti
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 827-870
Persistent link: https://www.econbiz.de/10012518115
Saved in:
15
Filtration shrinkage, the structure of deflators, and failure of market completeness
Kardaras, Constantinos
;
Ruf, Johannes
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 871-901
Persistent link: https://www.econbiz.de/10012518123
Saved in:
16
Robust bounds for the American put
Hobson, David G.
;
Norgilas, Dominykas
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
Saved in:
17
Laws of large numbers for Hayashi-Yoshida-type functionals
Martin, Ole
;
Vetter, Mathias
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 451-500
Persistent link: https://www.econbiz.de/10012023752
Saved in:
18
Duality for pathwise superhedging in continuous time
Bartl, Daniel
;
Kupper, Michael
;
Prömel, David Johannes
; …
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 697-728
Persistent link: https://www.econbiz.de/10012023763
Saved in:
19
No-arbitrage under a class of honest times
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
Saved in:
20
An expansion in the model space in the context of utility maximization
Larsen, Kasper
;
Mostovyi, Oleksii
;
Žitković, Gordan
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10011945713
Saved in:
21
Robust pricing-hedging dualities in continuous time
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
22
Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo
;
Severino, Federico
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
Saved in:
23
Stochastic volatility for utility maximizers : a martingale approach
Ellersgaard, Simon
;
Tegnér, Martin
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011922965
Saved in:
24
Optimal asset allocation for a bank under risk control
Perera, Ryle S.
;
Sato, Kimitoshi
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011923030
Saved in:
25
Who would invest only in the risk-free asset?
Azevedo, N.
;
Pinheiro, D.
;
Xanthopoulos, S. Z.
; …
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011923046
Saved in:
26
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
Saved in:
27
Market completion with derivative securities
Schwarz, Daniel C.
- In:
Finance and stochastics
21
(
2017
)
1
,
pp. 263-284
Persistent link: https://www.econbiz.de/10011944367
Saved in:
28
Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano
;
Laachir, Ismail
;
Martini, Claude
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
Saved in:
29
Trading strategies generated by Lyapunov functions
Karatzas, Ioannis
;
Ruf, Johannes
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 753-787
Persistent link: https://www.econbiz.de/10011944423
Saved in:
30
No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
Saved in:
31
An explicit martingale version of the one-dimensional Brenier theorem
Henry-Labordère, Pierre
;
Touzi, Nizar
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 635-668
Persistent link: https://www.econbiz.de/10011531053
Saved in:
32
Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo
;
Frittelli, Marco
;
Maggis, Marco
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
Saved in:
33
Consistent price systems under model uncertainty
Bouchard, Bruno
;
Nutz, Marcel
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 83-98
Persistent link: https://www.econbiz.de/10011459977
Saved in:
34
Superreplication when trading at market indifference prices
Bank, Peter
;
Gökay, Selim
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 153-182
Persistent link: https://www.econbiz.de/10011460049
Saved in:
35
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
36
No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.
;
Kardaras, Constantinos
;
Song, Shiqi
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
Saved in:
37
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Cox, Alexander M. G.
;
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 669-704
Persistent link: https://www.econbiz.de/10011531314
Saved in:
38
Existence of an endogenously complete equilibrium driven by a diffusion
Kramkov, Dmitry
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011416985
Saved in:
39
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
Saved in:
40
Fragility of arbitrage and bubbles in local martingale diffusion models
Guasoni, Paolo
;
Rásonyi, Miklós
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 215-231
Persistent link: https://www.econbiz.de/10011417713
Saved in:
41
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
42
The existence of dominating local martingale measures
Imkeller, Peter
;
Perkowski, Nicolas
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 685-717
Persistent link: https://www.econbiz.de/10011420345
Saved in:
43
How non-arbitrage, viability and numéraire portfolio are related
Choulli, Tahir
;
Deng, Jun
;
Ma, Junfeng
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 719-741
Persistent link: https://www.econbiz.de/10011420437
Saved in:
44
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
Saved in:
45
Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong
- In:
International journal of financial engineering
2
(
2015
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
Saved in:
46
A note on the condition of no unbounded profit with bounded risk
Takaoka, Koichiro
;
Schweizer, Martin
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 393-405
Persistent link: https://www.econbiz.de/10010340680
Saved in:
47
Robust hedging with proportional transaction costs
Dolinsky, Yan
;
Soner, Halil Mete
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
Saved in:
48
Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca
;
Föllmer, Hans
;
Nedelcu, Sorin
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
Saved in:
49
FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn
;
Smaga, Martin
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
Saved in:
50
Superreplication under model uncertainty in discrete time
Nutz, Marcel
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 791-803
Persistent link: https://www.econbiz.de/10010416246
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