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  • Search: subject:"Martingale"
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Year of publication
Subject
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Martingale 1,091 Martingal 1,002 Theorie 654 Theory 638 Stochastic process 301 Stochastischer Prozess 299 Optionspreistheorie 248 Option pricing theory 242 Portfolio-Management 206 Portfolio selection 203 CAPM 160 Volatilität 131 Volatility 127 Schätztheorie 120 Estimation theory 116 martingale 103 Zeitreihenanalyse 98 Hedging 95 Time series analysis 95 Incomplete market 92 Unvollkommener Markt 83 Arbitrage 77 Arbitrage Pricing 72 Börsenkurs 71 Schätzung 71 Estimation 70 Share price 69 Arbitrage pricing 68 Statistical test 63 Statistischer Test 63 Mathematical programming 62 Mathematische Optimierung 62 Derivat 59 Derivative 59 Bubbles 55 Spekulationsblase 51 Efficient market hypothesis 50 Effizienzmarkthypothese 50 Markov chain 50 Markov-Kette 49
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Online availability
All
Free 644 Undetermined 546 CC license 8
Type of publication
All
Article 1,009 Book / Working Paper 738 Other 8
Type of publication (narrower categories)
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Article in journal 624 Aufsatz in Zeitschrift 624 Working Paper 267 Graue Literatur 227 Non-commercial literature 227 Arbeitspapier 212 Aufsatz im Buch 32 Book section 32 Hochschulschrift 30 Thesis 26 Article 14 Amtsdruckschrift 8 Government document 8 Collection of articles written by one author 7 Sammlung 7 Lehrbuch 6 Textbook 5 Conference paper 4 Forschungsbericht 4 Konferenzbeitrag 4 research-article 4 Einführung 2 Mikroform 2 Bibliografie 1 Collection of articles of several authors 1 Konferenzschrift 1 Sammelwerk 1
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Language
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English 1,261 Undetermined 479 German 11 Spanish 2 French 1 Hungarian 1 Serbian 1
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Author
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Schweizer, Martin 45 Jacod, Jean 22 Podolskij, Mark 19 Kardaras, Constantinos 18 Platen, Eckhard 18 Jeanblanc, Monique 16 Barndorff-Nielsen, Ole E. 15 Jarrow, Robert A. 15 Li, Jia 14 Phillips, Peter C. B. 14 Karantounias, Anastasios G. 13 Linton, Oliver 13 Biagini, Francesca 12 Choulli, Tahir 12 Darné, Olivier 11 Kim, Jae H. 11 Bayraktar, Erhan 10 Charles, Amélie 10 Frittelli, Marco 10 Hulley, Hardy 10 Prigent, Jean-Luc 10 Shephard, Neil G. 10 Sørensen, Michael 10 Todorov, Viktor 10 Chiarella, Carl 9 Christensen, Bent Jesper 9 Fontana, Claudio 9 Hobson, David G. 9 Honda, Toshio 9 Ielpo, Florian 9 Kabanov, Jurij M. 9 Korn, Ralf 9 Protter, Philip 9 Scaillet, Olivier 9 Siu, Tak Kuen 9 Föllmer, Hans 8 Ibragimov, Rustam 8 Imkeller, Peter 8 Kallsen, Jan 8 Osȩkowski, Adam 8
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Institution
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International Monetary Fund (IMF) 21 University of Bonn, Germany 21 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 18 HAL 16 Cowles Foundation for Research in Economics, Yale University 11 London School of Economics (LSE) 10 School of Economics and Management, University of Aarhus 10 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 9 Finance Discipline Group, Business School 8 Université Paris-Dauphine (Paris IX) 8 EconWPA 6 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 National Bureau of Economic Research 5 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 4 Graduate School of Economics, Hitotsubashi University 4 Deutsche Forschungsgemeinschaft 3 Econometric Society 3 Economics Group, Nuffield College, University of Oxford 3 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 3 National Centre of Competence in Research - Financial Valuation and Risk Management 3 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 3 Université Paris-Dauphine 3 Berkeley Electronic Press 2 Bonn Graduate School of Economics 2 Center for Agricultural and Rural Development (CARD), Iowa State University 2 Centre for Analytical Finance <Århus> 2 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Department of Economics, Oxford University 2 Department of Economics, Rutgers University-New Brunswick 2 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 European Central Bank 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 Institute of Economic Research, Hitotsubashi University 2 Lusk Center for Real Estate, Marshall School of Business 2 Society for Computational Economics - SCE 2 Statistisk Sentralbyrå, Government of Norway 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2
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Published in...
All
Finance and stochastics 92 Mathematical finance : an international journal of mathematics, statistics and financial theory 48 Finance and Stochastics 47 Statistics & Probability Letters 38 International journal of theoretical and applied finance 37 Journal of econometrics 35 Stochastic Processes and their Applications 27 Research paper series / Swiss Finance Institute 23 IMF Working Papers 21 International Journal of Theoretical and Applied Finance (IJTAF) 20 Mathematics and financial economics 19 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 19 Insurance / Mathematics & economics 18 MPRA Paper 18 Swiss Finance Institute Research Paper 18 Annals of finance 17 Annals of the Institute of Statistical Mathematics 17 Discussion Paper Serie B 17 CREATES research paper 14 Computational Statistics 14 Journal of mathematical finance 14 Mathematical methods of operations research 14 Mathematical Methods of Operations Research 13 Working Paper 12 Asia-Pacific financial markets 11 Cowles Foundation Discussion Papers 11 Applied mathematical finance 10 CREATES Research Papers 10 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 10 LSE Research Online Documents on Economics 10 Quantitative finance 10 Working Papers / HAL 10 European journal of operational research : EJOR 9 Mathematics of operations research 9 SFB 373 Discussion Paper 9 SFB 373 Discussion Papers 9 Econometric theory 8 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 8 Economics Papers from University Paris Dauphine 8 Economics letters 8
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Source
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ECONIS (ZBW) 1,096 RePEc 567 EconStor 69 BASE 11 Other ZBW resources 6 USB Cologne (business full texts) 5 ArchiDok 1
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Showing 1 - 10 of 1,755
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What are asset price bubbles? : a survey on definitions of financial bubbles
Baumann, Michael; Janischewski, Anja - 2025
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...
Persistent link: https://www.econbiz.de/10015207173
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Mean-field equilibrium price formation with exponential utility
Fujii, Masaaki; Sekine, Masashi - 2025 - This version: January 6, 2025
Persistent link: https://www.econbiz.de/10015164456
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to … a strict local martingale. This paper explores price bubbles using the framework of optional semimartingale calculus …
Persistent link: https://www.econbiz.de/10015358908
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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
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A general theory of tax-smoothing
Karantounias, Anastasios G. - 2024
Persistent link: https://www.econbiz.de/10015159279
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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
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Robust inference on correlation under general heterogeneity
Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - In: Journal of econometrics 240 (2024) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10015075086
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On entropy martingale optimal transport theory
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10015044783
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Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space
Zastawniak, Tomasz - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 137-149
Persistent link: https://www.econbiz.de/10015044789
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10014449844
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