Results 11 to 20 of about 207,950 (53)

Sticky processes, local and true martingales [PDF]

Bernoulli, 2015
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm.
M. Rásonyi, Hasanjan Sayit
semanticscholar   +1 more source

A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

, 1996
The celebrated theorem of Halmos and Savage implies that if M is a set of P-absolutely continuous probability measures Q on (Ω, F, P) such that each A ∈ F,P(A) > 0 is charged by some Q ∈ M, that is, Q(A) > 0 (where the choice of Q depends on the set A ...
I. Klein, W. Schachermayer
semanticscholar   +1 more source

Invariance times [PDF]

, 2017
On a probability space (Ω,A,Q) we consider two filtrations F ⊆ G and a G stopping time θ such that the G predictable processes coincide with F predictable processes on (0, θ].
St'ephane Cr'epey, Shiqi Song
semanticscholar   +1 more source

Quantum Computing for Financial Mathematics [PDF]

arXiv, 2023
Quantum computing has recently appeared in the headlines of many scientific and popular publications. In the context of quantitative finance, we provide here an overview of its potential.
arxiv  

Practical Finance Strategies in Immunization

Immunization - Vaccine Adjuvant Delivery System and Strategies, 2018
My first goal is to present the basic immunization problem (BIP) as it is understood in finance. BIP relies on a construction of such a bond portfolio (BP), meaning a selection of individual bonds, that the single liability to pay L dollars q years from ...
L. Zaremba
semanticscholar   +1 more source

The exact Taylor formula of the implied volatility [PDF]

Finance and Stochastics, 2015
In a model driven by a multidimensional local diffusion, we study the behavior of the implied volatility σ\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage ...
Stefano Pagliarani, A. Pascucci
semanticscholar   +1 more source

Backward SDE representation for stochastic control problems with nondominated controlled intensity. [PDF]

, 2014
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility and intensity.
S'ebastien Choukroun, Andrea Cosso
semanticscholar   +1 more source

Diamonds and forward variance models [PDF]

arXiv, 2022
In this non-technical introduction to diamond trees and forests, we focus on their application to computation in stochastic volatility models written in forward variance form, rough volatility models in particular.
arxiv  

CARMA Approximations and Estimation

Frontiers in Applied Mathematics and Statistics, 2020
CARMA(p, q) processes are compactly defined through a stochastic differential equation (SDE) involving q + 1 derivatives of the Lévy process driving the noise, despite this latter having in general no differentiable paths.
Silvia Lavagnini
semanticscholar   +1 more source

Explicit Computations for Delayed Semistatic Hedging [PDF]

arXiv, 2023
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
arxiv