Found 14 Documents (Results 1–14)
A martingale representation theorem and valuation of defaultable securities. (English) Zbl 1508.91553
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. (English) Zbl 1508.91554
Self-similarity in long-horizon returns. (English) Zbl 1508.91583
MSC:
91G30
Risk functionals with convex level sets. (English) Zbl 1508.91624
MSC:
91G70
Continuous-time mean-variance portfolio selection: a reinforcement learning framework. (English) Zbl 1508.91515
Convergence of optimal expected utility for a sequence of discrete-time markets. (English) Zbl 1508.91537
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