EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • EN 
    • DE
    • ES
    • FR
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  • EN 
    • DE
    • ES
    • FR
  •  My account 
    • Logout
    • Change account settings
  • Login
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Martingal"
Narrow search

Narrow search

Year of publication
Subjects
All
Martingal 507 Martingale 488 Theorie 327 Theory 327 Optionspreistheorie 87 Option pricing theory 83 Stochastischer Prozess 83 Portfolio selection 82 Portfolio-Management 82 Stochastic process 80 Hedging 55 CAPM 46 Incomplete market 44 Unvollkommener Markt 44 Volatility 36 Volatilität 36 Arbitrage Pricing 33 Arbitrage pricing 33 Arbitrage 23 Derivat 23 Derivative 23 Financial economics 22 Financial market 22 Finanzmarkt 22 Kapitalmarkttheorie 22 Time series analysis 22 Zeitreihenanalyse 22 Black-Scholes-Modell 20 Bubbles 20 Spekulationsblase 20 Black-Scholes model 19 Statistischer Test 19 Efficient market hypothesis 18 Effizienzmarkthypothese 18 Markov chain 18 Markov-Kette 18 Mathematical programming 18 Mathematische Optimierung 18 Statistical test 18 USA 18
more ... less ...
Online availability
All
Free 107 Undetermined 2
Type of publication
All
Article 307 Book / Working Paper 200
Type of publication (narrower categories)
All
Article in journal 279 Aufsatz in Zeitschriften 279 Graue Literatur 147 Non-commercial literature 147 Arbeitspapier 129 Working Paper 129 Hochschulschrift 26 Thesis 24 Dissertation 23 Article in book 22 Aufsatz im Buch 22 Amtsdruckschrift 8 Government document 8 Collection of articles written by one author 5 Sammlung 5 Lehrbuch 4 Mikroform 3 Dissertation u.a. Prüfungsschriften 2 Konferenzschrift 2 Bibliographie 1 Collection of articles of several authors 1 Einführung 1 Forschungsbericht 1 Sammelwerk 1 Universitätsschrift 1
more ... less ...
Language
All
English 486 German 14 Undetermined 4 French 1 Spanish 1 Serbian 1
Persons
All
Schweizer, Martin 16 Barndorff-Nielsen, Ole E. 11 Jacod, Jean 9 Kardaras, Constantinos 9 Prigent, Jean-Luc 9 Platen, Eckhard 8 Scaillet, Olivier 8 Cassese, Gianluca 7 Hulley, Hardy 7 Jeanblanc, Monique 7 Kabanov, Jurij M. 7 Podolskij, Mark 7 Protter, Philip E. 7 Renault, Olivier 7 Choulli, Tahir 6 Frittelli, Marco 6 Jarrow, Robert A. 6 Kallsen, Jan 6 Shephard, Neil G. 6 Graversen, Svend Erik 5 Hobson, David G. 5 Karantounias, Anastasios G. 5 Korn, Ralf 5 Schachermayer, Walter 5 Smith, Graham 5 Biagini, Francesca 4 Chiarella, Carl 4 Christensen, Bent Jesper 4 Delbaen, Freddy 4 Ibragimov, Rustam 4 Leitner, Johannes 4 Mania, Michael 4 McCauley, Joseph L. 4 Phillips, Peter C. B. 4 Pommeret, Denys 4 Santacroce, Marina 4 Soner, Halil Mete 4 Yor, Marc 4 Arai, Takuji 3 Becherer, Dirk 3
more ... less ...
Institutions
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 National Centre of Competence in Research - Financial Valuation and Risk Management 3 Bonn Graduate School of Economics 2 Centre for Analytical Finance <Århus> 2 Center for Economic Research <Minneapolis, Minn.> 1 Federal Reserve Bank of Kansas City / Research Division 1 Finrisk 1 Institut für Schweizerisches Bankwesen <Zürich> 1 National Centre of Competence in Research North South <Bern> 1 University of Cambridge / Department of Applied Economics 1 University of Cambridge / Faculty of Economics 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
more ... less ...
Published in...
All
Finance and stochastics 49 Mathematical finance : an international journal of mathematics, statistics and financial theory 39 International journal of theoretical and applied finance 19 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 15 Journal of econometrics 13 Research paper series 11 Annals of finance 10 Asia-Pacific financial markets 8 Série des documents de travail / Centre de Recherche en Économie et Statistique 8 CREATES research paper 7 Decisions in economics and finance : DEF ; a journal of applied mathematics 6 Economic theory 6 Journal of economic dynamics & control 6 Mathematical methods of operations research 6 Studi e quaderni / Istituto di Economia Politica, Università Bocconi 6 Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business 6 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 5 Discussion paper series 5 Journal of business & economic statistics : JBES : a publication of the American Statistical Association 5 Journal of mathematical economics 5 Optimality and risk - modern trends in mathematical finance : the Kabanov Festschrift 5 The journal of futures markets 5 Applied mathematical finance 4 Contemporary quantitative finance : essays in honour of Eckhard Platen 4 Cowles Foundation discussion paper 4 Discussion paper 4 Discussion papers of interdisciplinary research project 373 4 FINRISK Working Paper Series 4 Insurance 4 International review of financial analysis 4 Journal of banking & finance 4 Springer finance 4 The review of financial studies 4 Annals of economics and finance 3 Econometric reviews 3 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 3 Global COE Hi-Stat discussion paper series 3 International review of economics & finance : IREF 3 Journal of mathematical finance 3 Mathematical finance 3
more ... less ...
Sources
All
ECONIS (ZBW) 488 USB Cologne (EcoSocSci) 13 USB Cologne (business full texts) 5 BASE 1
Showing 1 - 50 of 507
Cover Image
Martingale regressions for a continuous time model of exchange rates
Guo, Zi-Yi - 2017 - This version: September 2017
One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called "foreign exchange rate determination puzzle". We propose a continuous-time model to study the impact of order flow on foreign exchange rates. The...
Saved in:
Cover Image
Optimal investment strategies under affine Markov-switching models : theory, examples and implementation
Neykova, Daniela - 2016
This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...
Saved in:
Cover Image
Fiscal austerity in ambiguous times
Ferrière, Axelle; Karantounias, Anastasios G. - 2016
How should public debt be managed when uncertainty about the business cycle is widespread and debt levels are high, as in the aftermath of the last financial crisis? This paper analyzes optimal fiscal policy with ambiguity aversion and endogenous government spending. We show that, without...
Saved in:
Cover Image
Tightness of M-estimators for multiple linear regression in time series
Johansen, Søren; Nielsen, Bent - 2016
Saved in:
Cover Image
Tightness of M-estimators for multiple linear regression in time series
Johansen, Søren; Nielsen, Bent - 2016
Saved in:
Cover Image
An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver Bruce; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Saved in:
Cover Image
The marriage market, labor supply and education choice
Chiappori, Pierre-André; Dias, Mónica Costa; Meghir, … - 2015
We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable utility context. Individuals start by choosing their investments in education anticipating returns in the marriage market and the labor market. They then match based on the...
Saved in:
Cover Image
The Φ-Martingale
Vrins, Frédéric; Jeanblanc, Monique - 2015
Saved in:
Cover Image
Economics-based financial bubbles (and why they imply strict local martingales)
Herdegen, Martin; Schweizer, Martin - 2015
Saved in:
Cover Image
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2014
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...
Saved in:
Cover Image
Mathematical models for financial bubbles
Nedelcu, Sorin - 2014
Financial bubbles have been present in the history of financial markets from the early days up to the modern age. An asset is said to exhibit a bubble when its market value exceeds its fundamental valuation. Although this phenomenon has been thoroughly studied in the economic literature, a...
Saved in:
Cover Image
Martingale optimal transport in the Skorokhod space
Dolinsky, Yan; Soner, Halil Mete - 2014
Saved in:
Cover Image
Optimal consumption and investment with labor income and European/American capital guarantee
Kronborg, Morten Tolver - In: Risks : open access journal 2 (2014) 2, pp. 171-194
We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...
Saved in:
Cover Image
Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Saved in:
Cover Image
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
Saved in:
Cover Image
Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Saved in:
Cover Image
Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23
Saved in:
Cover Image
Fundamental theorem of asset pricing under transaction costs and model uncertainty
Bayraktar, Erhan; Zhang, Yuchong - In: Mathematics of operations research 41 (2016) 3, pp. 1039-1054
Saved in:
Cover Image
Strong bubbles and strict local martingales
Herdegen, Martin; Schweizer, Martin - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-44
Saved in:
Cover Image
No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Saved in:
Cover Image
Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien; Labart, Celine; Lelong, Jerome - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394
Saved in:
Cover Image
Weak form efficiency and martingale difference sequence tests of six African stock market indexes
Setlhare, Lexi L.; Kouassi, Eugène - In: The empirical economics letters : a monthly … 15 (2016) 1, pp. 37-44
Saved in:
Cover Image
Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Saved in:
Cover Image
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137
Saved in:
Cover Image
Optimal portfolio strategy with discounted stochastic cash inflows when the stock price is a semimartingale
Baraedi, Onthusitse; Offen, Elias - In: Journal of mathematical finance 6 (2016) 4, pp. 660-684
Saved in:
Cover Image
Nonparametric estimation of cumulative incidence functions for competing risks data with missing cause of failure
Effraimidis, Georgios; Dahl, Christian M. - 2013
Saved in:
Cover Image
Nonparametric estimation of cumulative incidence functions for competing risks data with missing cause of failure
Effraimidis, Georgios; Dahl, Christian M. - 2013
Saved in:
Cover Image
Quantitative forward guidance and the predictability of monetary policy : a wavelet based jump detection approach
Winkelmann, Lars - 2013
The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...
Saved in:
Cover Image
Martingale optimal transport and robust hedging in continuous time
Dolinsky, Yan; Soner, Halil Mete - 2013
Saved in:
Cover Image
Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies
Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733
Saved in:
Cover Image
Optimal investment in a Black-Scholes model with a bubble
Herdegen, Martin; Herrmann, Sebastian - 2013
Saved in:
Cover Image
Coherent price systems and uncertainty-neutral valuation : conference paper
Beißner, Patrick - 2013 - This version: 28 February, 2013
We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see...
Saved in:
Cover Image
Optimal fiscal policy with recursive preferences
Karantounias, Anastasios G. - 2013
I study optimal capital and labor income taxation in a business cycle model with the recursive preferences of Epstein and Zin (1989) and Weil (1990). In contrast to the case of time-additive expected utility, I find that it is no longer optimal to make the welfare cost of distortionary taxes...
Saved in:
Cover Image
Managing pessimistic expectations and fiscal policy
Karantounias, Anastasios G. - In: Theoretical economics : TE : an open access journal in … 8 (2013) 1, pp. 193-231
This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive...
Saved in:
Cover Image
Managing pessimistic expectations and fiscal policy
Karantounias, Anastasios G. - 2012
This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive...
Preview
Preview
Saved in:
Cover Image
Assessing the profitability of intraday opening range breakout strategies
Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - 2012
Saved in:
Cover Image
The Heath-Jarrow-Morton approach for modelling stock options
Krühner, Paul - 2012
Saved in:
Cover Image
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - 2012
Preview
Preview
Saved in:
Cover Image
Convex duality in mean variance hedging under convex trading constraints
Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012
We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way....
Preview
Preview
Saved in:
Cover Image
Cone-constrained continuous-time Markowitz problems
Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints: Trading strategies must take values in a...
Preview
Preview
Saved in:
Cover Image
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Jeanblanc, Monique (contributor); Mania, Michael (contributor) - 2012 - This version: 4.6.2012
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...
Preview
Preview
Saved in:
Cover Image
A test for the rank of the volatility process : the random perturbation approach
Jacod, Jean; Podolskij, Mark - 2012
Saved in:
Cover Image
Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick - 2012
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale...
Saved in:
Cover Image
On continuous time trading of a small investor in a limit order market
Stroh, Maximilian - 2012
Saved in:
Cover Image
Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - 2012
Saved in:
Cover Image
A note on the independence between financial and actuarial risks
Dhaene, Jan (contributor); Kukush, Alexander (contributor);  … - 2012
Saved in:
Cover Image
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Liang, Zongxia; Ma, Ming - In: Insurance 64 (2015), pp. 151-161
Saved in:
Cover Image
Arbitrage in markets with bid-ask spreads : the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
Rola, Przemysław - In: Annals of finance 11 (2015) 3/4, pp. 453-475
Saved in:
Cover Image
Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Saved in:
Cover Image
An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver Bruce; Zhang, Hui Jun - 2015
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
A service of the
zbw
Questions? Chat with us

Questions? Chat with us

Loading...
 Searching for statistics or facts?
  • Sitemap
  • Contact us
  • Imprint
  • Privacy

Loading...