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Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi - In: Finance and stochastics 21 (2017) 2, pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
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High-frequency trading with fractional Brownian motion
Guasoni, Paolo; Mišura, Julija S.; Rásonyi, Miklós - In: Finance and stochastics 25 (2021) 2, pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
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The numeraire portfolio for unbounded semimartingales
Becherer, Dirk - In: Finance and stochastics 5 (2001) 3, pp. 327-341
Persistent link: https://www.econbiz.de/10001599277
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Indifference pricing of insurance contracts in a product space model
Møller, Thomas - In: Finance and stochastics 7 (2003) 2, pp. 197-217
Persistent link: https://www.econbiz.de/10001762744
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A semimartingale BSDE related to the minimal entropy martingale measure
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz - In: Finance and stochastics 7 (2003) 3, pp. 385-402
Persistent link: https://www.econbiz.de/10001771742
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A super-martingale property of the optimal portfolio process
Schachermayer, Walter - In: Finance and stochastics 7 (2003) 4, pp. 433-456
Persistent link: https://www.econbiz.de/10001800676
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The minimal entropy martingale measures for geometric Lévy processes
Fujiwara, Tsukasa; Miyahara, Yoshio - In: Finance and stochastics 7 (2003) 4, pp. 509-531
Persistent link: https://www.econbiz.de/10001800700
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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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Fourier series method for measurement of multivariate volatilities
Malliavin, Paul; Mancino, Maria Elvira - In: Finance and stochastics 6 (2002) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10001643748
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos; Jang, Ji-Wook - In: Finance and stochastics 7 (2003) 1, pp. 73-95
Persistent link: https://www.econbiz.de/10001724642