Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associated with exponential martingales (not just local martingales) and, therefore, to 'an optimal equivalent martingale measure'. Results of independent interest, in the theory of continuous-time martingales, are derived as well.
International audienceThis paper investigates the relationship between the minimal Hellinger marting...
AbstractA paper by the same authors in the 1981 volume of Stochastic Processes and Their Application...
AbstractWe study financial market incompleteness induced by discontinuities in asset returns. When t...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
We consider a stochastic differential game in a financial jump diffusion market, where the agent cho...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
A numeraire is a portfolio that, when securities, prices and dividends are expressed in its units, a...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
In an incomplete financial market where asset prices are continuous semimartingales, we establish th...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
Abstract We consider an incomplete ¯nancial market model, where the dynamics of asset prices is dete...
Assuming that the forward rates f(t)(u) are semimartingales, we give conditions on their components ...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
In this paper we consider a general class of diffusion-based models and show that, even in the absen...
International audienceThis paper investigates the relationship between the minimal Hellinger marting...
AbstractA paper by the same authors in the 1981 volume of Stochastic Processes and Their Application...
AbstractWe study financial market incompleteness induced by discontinuities in asset returns. When t...
continuous time finance, derivatives pricing, idiosyncratic risk, stochastic volatility,
We consider a stochastic differential game in a financial jump diffusion market, where the agent cho...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
A numeraire is a portfolio that, when securities, prices and dividends are expressed in its units, a...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
In an incomplete financial market where asset prices are continuous semimartingales, we establish th...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
Abstract We consider an incomplete ¯nancial market model, where the dynamics of asset prices is dete...
Assuming that the forward rates f(t)(u) are semimartingales, we give conditions on their components ...
In this study we investigate equivalent martingale measures for exponential NIG- Lévy processes. Lév...
In this paper we consider a general class of diffusion-based models and show that, even in the absen...
International audienceThis paper investigates the relationship between the minimal Hellinger marting...
AbstractA paper by the same authors in the 1981 volume of Stochastic Processes and Their Application...
AbstractWe study financial market incompleteness induced by discontinuities in asset returns. When t...