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The cumulant process and Esscherś change of measure
Kallsen, Jan; Širjaev, Alʹbert N. - In: Finance and stochastics 6 (2002) 4, pp. 397-428
Persistent link: https://www.econbiz.de/10001702776
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Completion of a Lévy market by power-jump assets
Corcuera, José Manuel; Nualart, David; Schoutens, Wim - In: Finance and stochastics 9 (2005) 1, pp. 109-127
Persistent link: https://www.econbiz.de/10002497084
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-575
Persistent link: https://www.econbiz.de/10003133280
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An entropy approach to the Stein and Stein model with correlation
Rheinländer, Thorsten - In: Finance and stochastics 9 (2005) 3, pp. 399-413
Persistent link: https://www.econbiz.de/10002946727
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Stochastic orders in dynamic reinsurance markets
Møller, Thomas - In: Finance and stochastics 8 (2004) 4, pp. 479-499
Persistent link: https://www.econbiz.de/10002261433
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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - In: Finance and stochastics 18 (2014) 3, pp. 487-514
Persistent link: https://www.econbiz.de/10010396056
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Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Kassberger, Stefan; Liebmann, Thomas - In: Finance and stochastics 15 (2011) 1, pp. 117-140
Persistent link: https://www.econbiz.de/10008824130
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Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
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Comparison of option prices in seminartingale models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10003334918
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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264