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pro vyhledávání: '"Martingale pricing"'
Akademický článek
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Autor:
Kliber, Paweł
Publikováno v:
Financial engineering : Methods and cases. :63-100
Externí odkaz:
https://www.ceeol.com/search/chapter-detail?id=767561
Akademický článek
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Autor:
Joann Jasiak, Christian Gourieroux
Publikováno v:
Econometrics and Statistics. 9:17-41
The martingale hypothesis is commonly tested in financial and economic time series. The existing tests of the martingale hypothesis aim at detecting some aspects of nonstationarity, which is considered an inherent feature of a martingale process. How
Publikováno v:
SSRN Electronic Journal.
We analyse the problem of constructing multiple mean-variance portfolios over increasing investment horizons in stochastic interest rate markets. The traditional one-period mean-variance optimal portfolios of Hansen and Richard (1987) require the rep
Autor:
Tomas Björk
Publikováno v:
Arbitrage Theory in Continuous Time
In this chapter the theoretical level is substantially increased, and we discuss in detail the deep connection between financial pricing theory and martingale theory. The first main result of the chapter is the First Fundamental Theorem which says th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::588cff08ca3a62237c1cdce9445f3881
https://doi.org/10.1093/oso/9780198851615.003.0011
https://doi.org/10.1093/oso/9780198851615.003.0011
Autor:
Ivan Guo, Grégoire Loeper
Publikováno v:
Journal of Optimization Theory and Applications. 179:598-617
Derivatives on the Chicago Board Options Exchange volatility index have gained significant popularity over the last decade. The pricing of volatility derivatives involves evaluating the square root of a conditional expectation which cannot be compute
Publikováno v:
Theory of Probability & Its Applications. 61:167-175
For static $(B,S)$-markets with countable many outcomes, a special interpolating property of martingale measures that gives the possibility to transform incomplete arbitrage-free markets to complete ones is studied. Sufficient conditions on the marke
Autor:
Stefan Kassberger, Thomas Liebmann
Publikováno v:
J. Appl. Probab. 53, no. 4 (2016), 1257-1264
In the spirit of the axiomatic approach by Rogers (1998) we show the equivalence between a set of assumptions on the behaviour of prices and the existence of a representation of these prices as conditional expectations. We rely on only weak assumptio