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Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

A note on utility indifference pricing

Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17

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Stability of Sigma-Martingale Densities in L log L Under an Equivalent Change of Measure

Choulli, Tahir; Schweizer, Martin - National Centre of Competence in Research - Financial … - 2011

An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the … original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof …

Persistent link: https://www.econbiz.de/10009486965

Fundamental Theorem of Asset Pricing, Stochastic Dimension

Strong, Winslow - National Centre of Competence in Research - Financial … - 2011

equivalent sigma-martingale measurefor the price process, and the equivalence of no arbitrage of the first kind to the existence … of anequivalent local martingale deflator for the set of nonnegative wealth processes.[...] …

Persistent link: https://www.econbiz.de/10009418977