Search Results - subject:"stochastic integration"

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

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation as they usually appear in frictionless markets. In this paper, we show how the models with and...

Persistent link: https://www.econbiz.de/10015272809

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

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

Ambit fields: survey and new challenges

Podolskij, Mark - School of Economics and Management, University of Aarhus - 2014

for dynamical structures in time and/or in space. We will review their basic probabilistic properties, main stochastic … integration concepts and recent limit theory for high frequency statistics of ambit fields. …

Persistent link: https://www.econbiz.de/10011098646

Modelling energy spot prices by Lévy semistationary processes

Ole E. Barndorff–Nielsen; Benth, Fred Espen; Veraart, … - School of Economics and Management, University of Aarhus - 2010

This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...

Persistent link: https://www.econbiz.de/10008565810

Linear hyperfinite Lévy integrals

Herzberg, Frederik - 2008

This article shows that the nonstandard approach to stochastic integration with respect to (C^2 functions of) Lévy … processes is consistent with the classical theory of pathwise stochastic integration with respect to (C^2 functions of) jump …

Persistent link: https://www.econbiz.de/10009452548

Linear hyperfinite Lévy integrals

Herzberg, Frederik - 2008

This article shows that the nonstandard approach to stochastic integration with respect to (C² functions of) Lévy … processes is consistent with the classical theory of pathwise stochastic integration with respect to (C² functions of) jump …

Persistent link: https://www.econbiz.de/10010272557

Stochastic integration for uncoupled continuous-time random walks

Scalas, Enrico; Germano, Guido; Politi, Mauro; … - Volkswirtschaftliche Fakultät, … - 2008

Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance, finance and economics. Based on heuristic considerations, a definition is given for the stochastic integral driven by continuous-time random walks. The martingale properties of the...

Persistent link: https://www.econbiz.de/10005626830

Hyperfinite stochastic integration for Lévy processes with finite-variation jump part

Herzberg, Frederik - Institut für Mathematische Wirtschaftsforschung, … - 2008

This article links the hyperfinite theory of stochastic integration with respect to certain hyperfinite Lévy processes … with the elementary theory of pathwise stochastic integration with respect to pure-jump Lévy processes with finite …-variation jump part. Since the hyperfinite Itô integral is also defined pathwise, these results show that hyperfinite stochastic …

Persistent link: https://www.econbiz.de/10005227287

A continuous time GARCH process driven by a Levy process: stationarity and second order behaviour

Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross - 2005

We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, to suggest an extension of the (G)ARCH concept to continuous time processes. Our COGARCH (continuous time GARCH) model, based on a single...

Persistent link: https://www.econbiz.de/10010275680