Similar Search Results

LE, Truc - 2018

martingale representation. The aim is threefold: theoretically, for modeling one need not presume a risk-neutral world which is … martingale property; and computationally, the valuation of derivatives can be simplified …

Persistent link: https://www.econbiz.de/10012916868

Randomised mixture models for pricing kernels

Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315

Persistent link: https://www.econbiz.de/10010511573

Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models

Criens, David; Glau, Kathrin; Grbac, Zorana - In: Applied mathematical finance 24 (2017) 1/2, pp. 23-37

Persistent link: https://www.econbiz.de/10011746992

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001450616

Pricing Callable Constant Maturity Swap Spread Range Accruals Under the Two Factor Linear Gaussian Martingale Model Using Fast Fourier Transform

Zhang, Joshua Xingzhi - 2011

transforms. I illustrate the model calibration method and pricing procedure based on a two-factor linear Gaussian Martingale …

Persistent link: https://www.econbiz.de/10013126672

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

measure, describing the stochastic dynamics of the state of the market, and an equivalent martingale measure determining … prices of contingent claims. The relation between equivalent martingale measure, state prices, market price of risk and the …

Persistent link: https://www.econbiz.de/10011544749

Weak time-derivatives and no-arbitrage pricing

Marinacci, Massimo; Severino, Federico - In: Finance and stochastics 22 (2018) 4, pp. 1007-1036

Persistent link: https://www.econbiz.de/10011946595

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

Li, Haitao - 2010

provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and …

Persistent link: https://www.econbiz.de/10013149933