Showing 1 - 10 of 31
We study strict local martingales via h-transforms, a method which first appeared in work by Delbaen and Schachermayer. We show that strict local martingales arise whenever there is a consistent family of change of measures where the two measures are not equivalent to one another. Several old...
Persistent link: https://www.econbiz.de/10008874847
We consider a trader who wants to direct his or her portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a Monte Carlo algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial...
Persistent link: https://www.econbiz.de/10008872830
Persistent link: https://www.econbiz.de/10009148430
This note proves a weak sharpness principle as conjectured by Gneiting et al. (2007) in connection with probabilistic forecasting subject to calibration constraints. Copyright 2009, Oxford University Press.
Persistent link: https://www.econbiz.de/10008469330
Persistent link: https://www.econbiz.de/10012091517
Persistent link: https://www.econbiz.de/10012091557
Persistent link: https://www.econbiz.de/10012095175
A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of “naturally occurring” strict local martingales with jumps available in the literature. The purpose of this paper is to provide such examples, and to illustrate how they might arise...
Persistent link: https://www.econbiz.de/10011194146
This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly...
Persistent link: https://www.econbiz.de/10010883215
This paper uses a conditional law of large numbers and a conditional central limit theorem to provide simplified asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash-flow CDOs. In particular, approximate pricing procedures are provided for synthetic and...
Persistent link: https://www.econbiz.de/10010883217