summary:The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps
"Stochastic calculus provides a powerful description of a specific class of stochastic processes in ...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its...
summary:The concept of an equivalent martingale measure is of key importance for pricing of financia...
Abstract. Equivalent martingale measures are of key importance for pricing of complex derivative con...
This book gives a complete and elementary account of fundamental results on hyperfinite measures and...
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to p...
Herzberg F. Stochastic Calculus with Infinitesimals. Lecture Notes in Mathematics. Vol 2067. Heidelb...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
President du jury: J. Jacod Autres membres du jury: M. Yor, H. Pham, C. Stricker, W. Schachermayer R...
The objective of this book is to give a self-contained presentation to the theory underlying the val...
"Stochastic calculus provides a powerful description of a specific class of stochastic processes in ...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its...
summary:The concept of an equivalent martingale measure is of key importance for pricing of financia...
Abstract. Equivalent martingale measures are of key importance for pricing of complex derivative con...
This book gives a complete and elementary account of fundamental results on hyperfinite measures and...
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to p...
Herzberg F. Stochastic Calculus with Infinitesimals. Lecture Notes in Mathematics. Vol 2067. Heidelb...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
President du jury: J. Jacod Autres membres du jury: M. Yor, H. Pham, C. Stricker, W. Schachermayer R...
The objective of this book is to give a self-contained presentation to the theory underlying the val...
"Stochastic calculus provides a powerful description of a specific class of stochastic processes in ...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its...
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