Results 81 to 90 of about 18,905 (246)
Measure free martingales and martingale measures
Proceedings - Mathematical Sciences, 2009 Let T ⊂ ℝ be a countable set, not necessarily discrete. Let f t , t ∈ T, be a family of real-valued functions defined on a set Ω. We discuss conditions which imply that there is a probability measure on Ω under which the family f t , t ∈ T, is a martingale.
M. G. Nadkarni, B. Rajeev
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Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
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ON CONTINUOUS MARTINGALES [PDF]
Proceedings of the National Academy of Sciences, 1965 Dubins, L. E., Schwarz, G.
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On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
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Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
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Generalized spectral tests for the martingale difference hypothesis. [PDF]
This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco, Carlos, Escanciano, Juan Carlos
core
Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
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Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale
ITM Web of Conferences, 2017 In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and
Li Jun-Gang, Zheng Shi-Qing
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Pricing without martingale measure [PDF]
ESAIM: Proceedings and SurveysFor several decades, the martingale measures have played a major role in financial asset pricing theory. In this paper, we propose an approach based on the conditional support of the asset price increments that avoids the technical diffilcuties arising ...
Baptiste Julien +2 more
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Risk Measure Duality Without Structure
Mathematical Finance, EarlyView.ABSTRACT We study risk measures on vector spaces of random variables which a priori have little structure, such as spaces lacking law invariance or a lattice structure. Ensuring the existence of a tractable dual representation (one which does not contain non‐sigma‐additive measures) is one of the main problems in risk measure theory, and we address it ...
Vasily Melnikov
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