Zobrazeno 1 - 10
of 62
pro vyhledávání: '"Christophe Stricker"'
Publikováno v:
Finance and Stochastics. 11:237-251
This note deals with criteria of absence of arbitrage opportunities for an investor acting in a market with frictions and having a limited access to the information flow. We develop a mathematical scheme covering major models of financial markets wit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67a554e6b6f95848784eb864f068ee4a
https://doi.org/10.1007/s00780-006-0029-x
https://doi.org/10.1007/s00780-006-0029-x
Autor:
Christophe Stricker, Tahir Choulli
Publikováno v:
Mathematical Finance. 15:465-490
This paper defines an optimization criterion for the set of all martingale measures for an incomplete market model when the discounted price process is bounded and quasi-left continuous. This criterion is based on the entropy–Hellinger process for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32fc359040c276b813eb66a7160a174c
https://doi.org/10.1111/j.1467-9965.2005.00229.x
https://doi.org/10.1111/j.1467-9965.2005.00229.x
Publikováno v:
Finance and Stochastics. 7:403-411
This note is a natural complement to our previous work where we studied no-arbitrage criteria for markets with efficient friction. We discuss, in our general geometric framework, the recent result of Walter Schachermayer on a necessary and sufficient
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e1a5ed3a3566b382c107718da9ff7ee
https://doi.org/10.1007/s007800200089
https://doi.org/10.1007/s007800200089
Autor:
Peter Grandits, Freddy Delbaen, Thorsten Rheinländer, Dominick Samperi, Christophe Stricker, Martin Schweizer
Publikováno v:
Mathematical Finance. 12:99-123
We solve the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a duality relation between this problem and a dual problem for local martingal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9ea846c688bd5986af8894637db9a231
https://doi.org/10.1111/1467-9965.02001
https://doi.org/10.1111/1467-9965.02001
Autor:
Christophe Stricker, Yuri Kabanov
Publikováno v:
Mathematical Finance. 12:125-134
This note contains ramifications of results of Delbaen et al. (2002). Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show, without further assumption, that in the case of e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c457c452bc8c787103791ccc230f88c
https://doi.org/10.1111/1467-9965.t01-1-02002
https://doi.org/10.1111/1467-9965.t01-1-02002
Autor:
Michel Chatelain, Christophe Stricker
Publikováno v:
Mathematical Finance. 4:57-65
We give a condition under which the componentwise stochastic integration with respect to a given Rd-valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7646634df100738498a3c5c332d07bf6
https://doi.org/10.1111/j.1467-9965.1994.tb00049.x
https://doi.org/10.1111/j.1467-9965.1994.tb00049.x
Autor:
Tahir Choulli, Christophe Stricker
Publikováno v:
Stochastic Processes and their Applications
Stochastic Processes and their Applications, Elsevier, 2009, 119 (4), pp.1368-1385
Stochastic Processes and their Applications, Elsevier, 2009, 119 (4), pp.1368-1385
This paper investigates the relationship between the minimal Hellinger martingale measure of order q (MHM measure hereafter) and the q -optimal martingale measure for any q ≠ 1 . First, we provide more results for the MHM measure; in particular we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc61bd3d009ce5804d8edb3ef799e02d
https://hal.archives-ouvertes.fr/hal-00481967
https://hal.archives-ouvertes.fr/hal-00481967
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783642017629
Séminaire de Probabilités XLII
Séminaire de Probabilités XLII
Yet another introduction to rough paths.- Monotonicity of the extremal functions for one-dimensional inequalities of logarithmic Sobolev type.- Non-monotone convergence in the quadratic Wasserstein distance.- On the equation = #x002A .- Shabat polyno
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ce26c6cec5022a3087ffa6041013504
https://doi.org/10.1007/978-3-642-01763-6
https://doi.org/10.1007/978-3-642-01763-6
Autor:
Christophe Stricker, Yuri Kabanov
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783540779124
We discuss a result of Guasoni, Rasonyi, and Schachermayer on the existence of martingale selectors for a class of continuous cone-valued processes. The setting includes that arising in models of financial markets with transaction costs.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d30423881cb5360f7fe2d9d2a4c5a03e
https://doi.org/10.1007/978-3-540-77913-1_21
https://doi.org/10.1007/978-3-540-77913-1_21
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783540779124
Séminaire de Probabilités XLI
Séminaire de Probabilités XLI
A. Dermoune, Ph. Heinrich : Spectral gap for a colored disordered lattice gas.-D. Feral : On large deviations for the spectral measure of discrete Coulomb gas.- O. Khorunzhiy : Estimates for moments of random matrices with Gaussian elements.- M. Capi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc1f075b8a45118e49eb93c3e5f873d3
https://doi.org/10.1007/978-3-540-77913-1
https://doi.org/10.1007/978-3-540-77913-1