Search Results - subject:"stochastic calculus"

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

Differentiability of quadratic BSDEs generated by continuous martingales

Richter, Anja; Réveillac, Anthony; Imkeller, Peter - Université Paris-Dauphine (Paris IX) - 2012

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the...

Persistent link: https://www.econbiz.de/10011166466

Differentiability of quadratic BSDEs generated by continuous martingales.

Richter, Anja; Reveillac, Anthony; Imkeller, Peter - Université Paris-Dauphine - 2012

Persistent link: https://www.econbiz.de/10009319611

Modeling positive electricity prices with arithmetic jump-diffusions

Hess, Markus - In: Energy economics 67 (2017), pp. 496-507

Persistent link: https://www.econbiz.de/10011898003

Performance analysis of the optimal strategy under partial information

Bel Hadj Ayed, Ahmed; Loeper, Grégoire; El Aoud, Sofiene; … - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011686856

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

Is the refining margin stationary?

Población, Javier; Serna, Gregorio - In: International review of economics & finance : IREF 44 (2016), pp. 169-186

Persistent link: https://www.econbiz.de/10011626045

Modeling and pricing precipitation derivatives under weather forecasts

Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10011568818

Alternative methods to derive option pricing models : review and comparison

Lee, Cheng F.; Chen, Yibing; Lee, John - In: Review of quantitative finance and accounting 47 (2016) 2, pp. 417-451

Persistent link: https://www.econbiz.de/10011595634

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335