Search Results - subject:"Radon-Nikodym"

Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting

Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574920

Skew-Brownian motion and pricing European exchange options

Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013426145

Maharam-types and Lyapunov's theorem for vector measures on Banach spaces

Khan, M. Ali; Sagara, Nobusumi - 2012

This paper offers a sufficient condition, based on Maharam (1942) and re-emphasized by Hoover-Keisler (1984), for the validity of Lyapunov's (1940) theorem on the range of an atomless vector measure taking values in an infinite-dimensional Banach space that is not necessarily separable nor has...

Persistent link: https://www.econbiz.de/10010397784

Infinite Portfolio Strategies

LeRoy, Stephen F. - In: Contemporary Economics 6 (2012) 4, pp. 54-60

In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...

Persistent link: https://www.econbiz.de/10010436017

B-spline techniques for volatility modeling

Corlay, Sulvain - In: The journal of computational finance 19 (2016) 3, pp. 97-135

Persistent link: https://www.econbiz.de/10011563492

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

relation by adopting a Radon-Nikodym derivative based on the exponential martingale of a correlated Brownian motion process and … a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent … parameters in the Radon-Nikodym derivative used in the alternative derivation of the integro-partial differential equation. …

Persistent link: https://www.econbiz.de/10004984596

Hedge portfolios in markets with price discontinuities

Cheang, Gerald H. L.; Chiarella, Carl - 2008

expectation is calculated using the historical measure P. The state-price density is actually a Radon- Nikod¶ym derivative dQdP …;:::;Wd;t)>. Proof. The Radon-Nikod¶ym derivative (14) is a product of terms all of which are Radon- Nikod¶ym derivatives, and … Radon- Nikod¶ym derivative (14). Recall also that the choice of ˆi;t and hi;t determine the martingale measure Q which is …

Persistent link: https://www.econbiz.de/10003856801

Robust volatility estimation with and without the drift parameter

Shaik, Muneer; Maheswaran, S. - In: Journal of quantitative economics 17 (2019) 1, pp. 57-91

Persistent link: https://www.econbiz.de/10012418637

The strong Feller property of switching jump-diffusion processes

Xi, Fubao; Yin, George - In: Statistics & Probability Letters 83 (2013) 3, pp. 761-767

property is obtained for general cases by using the special switching jump diffusion with the Radon–Nikodym derivative. …

Persistent link: https://www.econbiz.de/10010616872

A note on density estimation for binary sequences

Bharath, Karthik - In: Statistics & Probability Letters 83 (2013) 12, pp. 2735-2742

A histogram estimate of the Radon–Nikodym derivative of a probability measure with respect to a dominating measure is …

Persistent link: https://www.econbiz.de/10010709057