Unable to display preview.Download preview PDF. Rights and permissions Reprints and permissions Copyright information © 1972 Springer-Verlag About this chapter Cite this chapter Meyer, PA. (1972). Discrete martingale theory. In: Martingales and Stochastic Integrals I. Lecture Notes in Mathematics, ...
'Some Particular Problems of Martingale Theory' published in 'From Stochastic Calculus to Mathematical Finance'
Haugh, " Martingale Pricing Theory, " IEOR E4706: Financial Engineering: Discrete-Time Asset Pricing (2005).M. Haugh. Martingale pricing theory. Lecture Notes on IEOR E4706: Financial Engineering: Discrete- Time Asset Pricing, 2005. URL http://www.columbia.edu/∼mh2078/FE04/mtgale pricing...
theory (Stine, 2004) and frequentist risk (Abramovich, Benjamini, Donoho, and Johnstone, 2006). One can even apply several of these approaches simultaneously (Foster and Stine 2007). In the case of financial markets, however, the natural null hypothesis is that no asset can beat the mark...
In fact, it is difficult to prove the existence of BSDEs obtained for general semi-martingales in [15] with standard techniques of BSDE theory. Our approach is to solve BSDEs so as to characterize the value process of the mean–variance hedging of defaultable claims problem. Consequently, in...
By convex duality theory, this is shown to be equivalent to having the minimal-entropy martingale measure Q^ non-equivalent to the historical probability P (what we call the absolutely-continuous case). In this anomalous case, we no longer have the representation of the optimal wealth as the ...
[18, Chap. 5]), the non- commutative setting presents considerable additional technical difficulty and therefore requires special care.The paper is organized as follows: in Section 2, we set some basic preliminary background concerning non-commutative spaces and martin- gale theory that wil...
This paper explains how to calculate convexity adjustment for interest rates derivatives when assuming a deterministic time dependent volatility, using martingale theory. The motivation of this paper lies in two directions. First, we set up a proper no-arbitrage framework illustrated by a relationship ...
Martingale theoryprobability theoryRandom Variables and Their CharacteristicsParametrized Families of DistributionsAssociated DistributionsDistributions with Monotone Hazard RatesHeavy-Tailed DistributionsDetection of Heavy-Tailed Distributions 2.6.1doi:10.1002/9780470317044.ch9Tomasz Rolski...
Another model is attempted through some standard results of martingale theory. Through this we can suggest the moving average behavior and hence the investment pattern to the investors.M. SivajiC. V. Seshaiah