SFB 649 Discussion Paper 2005-043 On Local Times of Ranked Continuous Semimartingales; Application to Portfolio Generating Functions Raouf Ghomrasni* * Institute of Mathematics, Technische Universität Berlin, Germany This research was supported by the...

Given a finite collection of continuous semimartingales, we derive a semimartingale decomposition of the corresponding ranked (order-statistics) processes. We apply the decomposition to extend the theory of equity portfolios generated by ranked market weights to the case where the stock values...

We derive the decomposition of the ranked continuous semimartingales i.e. order- statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.

In this note we extend and clarify some identities in law for Brownian motion proved by Seshadri (Canad. J. Statist. 16 (1988) 209) using a new identity in law obtained by Matsumoto and Yor (Proc. Japan Acad. Ser. A Math. Sci. 74 (1998) 152).

In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general...

We derive the decomposition of the ranked continuous semimartingales i.e. order-statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.

Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...

Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...

In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...