17 results
No arbitrage and multiplicative special semimartingales
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- Advances in Applied Probability / Volume 55 / Issue 3 / September 2023
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- 09 June 2023, pp. 1033-1074
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- September 2023
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Unified signature cumulants and generalized Magnus expansions
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- Forum of Mathematics, Sigma / Volume 10 / 2022
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- 09 June 2022, e42
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Structure-preserving equivalent martingale measures for ℋ-SII models
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 1-14
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- March 2018
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New maximal inequalities for N-demimartingales with scan statistic applications
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 363-378
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- June 2017
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Laplace transform identities for the volume of stopping sets based on Poisson point processes
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 919-933
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- December 2015
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Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
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- Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
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- 30 January 2018, pp. 901-914
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- December 2012
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Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1084-1112
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- December 2012
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On the Joint Behavior of Types of Coupons in Generalized Coupon Collection
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- Advances in Applied Probability / Volume 44 / Issue 2 / June 2012
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- 04 January 2016, pp. 429-451
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- June 2012
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A Note on a Paper by Wong and Heyde
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- Journal of Applied Probability / Volume 48 / Issue 3 / September 2011
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- 14 July 2016, pp. 811-819
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- September 2011
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Variance-Optimal Hedging in General Affine Stochastic Volatility Models
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- Advances in Applied Probability / Volume 42 / Issue 1 / March 2010
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- 01 July 2016, pp. 83-105
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- March 2010
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Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
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- Advances in Applied Probability / Volume 40 / Issue 2 / June 2008
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- 01 July 2016, pp. 293-320
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- June 2008
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General convex stochastic orderings and related martingale-type structures
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- Advances in Applied Probability / Volume 39 / Issue 1 / March 2007
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- 01 July 2016, pp. 105-127
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- March 2007
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Decomposition of gamma-distributed domains constructed from Poisson point processes
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- Advances in Applied Probability / Volume 35 / Issue 1 / March 2003
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- 01 July 2016, pp. 56-69
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- March 2003
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Infinite time interval BSDEs and the convergence of g-martingales
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- Journal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics / Volume 69 / Issue 2 / October 2000
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- 09 April 2009, pp. 187-211
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- October 2000
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Stopping sets: Gamma-type results and hitting properties
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- Advances in Applied Probability / Volume 31 / Issue 2 / June 1999
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- 01 July 2016, pp. 355-366
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- June 1999
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Sur la Lp convergence des martingales liées au recouvrement
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- Journal of Applied Probability / Volume 32 / Issue 3 / September 1995
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- 14 July 2016, pp. 668-678
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- September 1995
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Poisson convergence for point processes on the plane
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- Journal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics / Volume 39 / Issue 2 / October 1985
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- 09 April 2009, pp. 253-269
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- October 1985
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