Search results for "semimartingales"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
66	Jan Bergenthum, Ludger Rüschendorf	Comparison of Option Prices in Semimartingale Models.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classification G13
31	Mathias Højgaard Jensen, Stefan Sommer	Simulation of Conditioned Semimartingales on Riemannian Manifolds.	CoRR	2021	DBLP BibTeX RDF
31	Li Wang 0059, Zhi Liu 0005, Xiaochao Xia	Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise.	Soft Comput.	2019	DBLP DOI BibTeX RDF
31	Hanchao Wang	The Euler Scheme for a Stochastic Differential Equation Driven by Pure Jump Semimartingales.	J. Appl. Probab.	2015	DBLP DOI BibTeX RDF
31	Winslow Strong	Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension.	Finance Stochastics	2014	DBLP DOI BibTeX RDF
31	Mats Pihlsgård, Peter W. Glynn	On the Dynamics of Semimartingales with Two Reflecting Barriers.	J. Appl. Probab.	2013	DBLP DOI BibTeX RDF
31	Kim Christensen, Mark Podolskij, Mathias Vetter	On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes.	J. Multivar. Anal.	2013	DBLP DOI BibTeX RDF
31	Marek T. Malinowski	On Equations with a Fuzzy Stochastic Integral with Respect to Semimartingales.	SMPS	2012	DBLP DOI BibTeX RDF
31	Ljiljana Petrovic, Dragana Stanojevic	Statistical Causality, Extremal Measures and Weak Solutions of Stochastic Differential Equations with Driving Semimartingales.	J. Math. Model. Algorithms	2010	DBLP DOI BibTeX RDF
31	Peter Carr 0002, Roger Lee	Hedging variance options on continuous semimartingales.	Finance Stochastics	2010	DBLP DOI BibTeX RDF
31	Marcel Nutz	The Bellman equation for power utility maximization with semimartingales.	CoRR	2009	DBLP BibTeX RDF
31	Yasutaka Shimizu	Functional estimation for Lévy measures of semimartingales with Poissonian jumps.	J. Multivar. Anal.	2009	DBLP DOI BibTeX RDF
31	Christian Bender, Tommi Sottinen, Esko Valkeila	Pricing by hedging and no-arbitrage beyond semimartingales.	Finance Stochastics	2008	DBLP DOI BibTeX RDF
31	Sara Biagini, Marco Frittelli	The supermartingale property of the optimal wealth process for general semimartingales.	Finance Stochastics	2007	DBLP DOI BibTeX RDF
31	Yi-Ju Chao	Weak Convergence of a Sequence of Semimartingales to a Diffusion with Discontinuous Drift and Diffusion Coefficients.	Queueing Syst. Theory Appl.	2002	DBLP DOI BibTeX RDF
31	Dirk Becherer	The numeraire portfolio for unbounded semimartingales.	Finance Stochastics	2001	DBLP DOI BibTeX RDF
31	Robert Jarrow, Dilip B. Madan	Hedging contingent claims on semimartingales.	Finance Stochastics	1999	DBLP DOI BibTeX RDF
31	Vyacheslav M. Abramov	Analysis of multiserver retrial queueing system: A martingale approach and an algorithm of solution.	Ann. Oper. Res.	2006	DBLP DOI BibTeX RDF	Multiserver retrial queues, Stochastic calculus, Martingales and semimartingales, Queue-length distribution
31	Gordan Zitkovic	Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	financial equilibrium, complete markets, semimartingales, semimartingale functions, withdrawal constraints
31	Vyacheslav M. Abramov	A Large Closed Queueing Network Containing Two Types of Node and Multiple Customer Classes: One Bottleneck Station.	Queueing Syst. Theory Appl.	2004	DBLP DOI BibTeX RDF	autonomous service, multiple customer classes, stochastic calculus, martingales and semimartingales, bottleneck, closed queueing network