Found 32 Documents (Results 1–32)
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models. (English) Zbl 07637399
Semimartingale price systems in models with transaction costs beyond efficient friction. (English) Zbl 1498.91422
The characteristic function of Gaussian stochastic volatility models: an analytic expression. (English) Zbl 1498.91443
Multi-utility representations of incomplete preferences induced by set-valued risk measures. (English) Zbl 1461.91367
Risk sharing for capital requirements with multidimensional security markets. (English) Zbl 1430.91032
Reviewer: Tak Kuen Siu (Sydney)
Convex duality in optimal investment and contingent claim valuation in illiquid markets. (English) Zbl 1416.91358
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (English) Zbl 1396.91683
Reviewer: Hernando Burgos-Soto (Toronto)
Trading strategies generated by Lyapunov functions. (English) Zbl 1414.91343
Reviewer: Yuliya S. Mishura (Kyïv)
Consumption-investment problem with transaction costs for Lévy-driven price processes. (English) Zbl 1346.60101
Weakly time consistent concave valuations and their dual representations. (English) Zbl 1339.91064
Reviewer: Jonas Šiaulys (Vilnius)
Asymptotic arbitrage with small transaction costs. (English) Zbl 1309.60042
Reviewer: Sergei V. Rogosin (Minsk)
Optimal investment and contingent claim valuation in illiquid markets. (English) Zbl 1311.91174
Reviewer: Anatoliy Swishchuk (Calgary)
On the hedging of options on exploding exchange rates. (English) Zbl 1314.91205
Reviewer: Yuliya S. Mishura (Kyïv)
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. (English) Zbl 1314.60090
Small transaction costs, absence of arbitrage and consistent price systems. (English) Zbl 1261.91043
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. (English) Zbl 1252.91078
Fast and accurate pricing of barrier options under Lévy processes. (English) Zbl 1194.91179
Reviewer: Yuliya Mishura (Kyïv)
American and European options in multi-factor jump-diffusion models, near expiry. (English) Zbl 1199.91214
Reviewer: Yuliya S. Mishura (Kyïv)
The dynamics of strategic information flows in stock markets. (English) Zbl 1150.91029
Reviewer: Yuliya S. Mishura (Kyïv)
Pricing and hedging European options with discrete-time coherent risk. (English) Zbl 1145.91032
Reviewer: Yuliya Mishura (Kyïv)
MSC:
91B30
91B70
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