Results 91 to 100 of about 7,361 (242)
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
wiley +1 more source
Chaotic expansion of powers and martingale representation (v1.5) [PDF]
This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
core
ON CONTINUOUS MARTINGALES [PDF]
Proceedings of the National Academy of Sciences, 1965 Dubins, L. E., Schwarz, G.
openaire +3 more sources
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
wiley +1 more source
On Honest Times in Financial Modeling [PDF]
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is
Eckhard Platen, Ashkan Nikeghbali
core
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
, 1979 The concept of a semi-martingale is extended to processes with index set in the plane. The definitions of planar semi-martingales are similar to those of two parameter bounded variation.
Brennan, Michael D
core +1 more source
Journal of Inequalities and Applications, 2018 In this paper, we extend some known results about complete convergence and establish the complete convergence and complete moment convergence for randomly weighted sums of martingale difference sequence.
Huanhuan Ma, Yan Sun
doaj +1 more source
Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging [PDF]
ESAIM: Proceedings and Surveys, 2014 Summary: In the recent literature, martingale inequalities have been emphasized to be induced by pathwise inequalities independently of any reference probability measure on the paths space. This feature is closely related to the problem of robust hedging in financial mathematics, which was originally addressed in some specific cases by means of the ...
openaire +2 more sources
Variance Ratio Tests for Panels With Cross‐Section Dependence
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
wiley +1 more source