[图书][B] Mathematical finance
E Eberlein, J Kallsen - 2019 - Springer
Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Bilateral multiple gamma returns: Their risks and rewards
DB Madan, W Schoutens, K Wang - International Journal of …, 2020 - World Scientific
The bilateral gamma model for returns is naturally derived from the lognormal model.
Maximizing entropy in a random time change delivers the symmetric variance gamma …
Maximizing entropy in a random time change delivers the symmetric variance gamma …
Asset pricing theory for two price economies
DB Madan - Annals of Finance, 2015 - Springer
We show that nonlinearly discounted nonlinear martingales are related to no arbitrage in
two price economies as linearly discounted martingales were related to no arbitrage in …
two price economies as linearly discounted martingales were related to no arbitrage in …
Arbitrage with fractional Gaussian processes
X Zhang, W Xiao - Physica A: Statistical Mechanics and its Applications, 2017 - Elsevier
While the arbitrage opportunity in the Black–Scholes model driven by fractional Brownian
motion has a long history, the arbitrage strategy in the Black–Scholes model driven by …
motion has a long history, the arbitrage strategy in the Black–Scholes model driven by …
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Abstract Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized
Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk …
Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk …
Extended weak convergence and utility maximisation with proportional transaction costs
In this paper, we study utility maximisation with proportional transaction costs. Assuming
extended weak convergence of the underlying processes, we prove the convergence of the …
extended weak convergence of the underlying processes, we prove the convergence of the …
Hedging, arbitrage and optimality with superlinear frictions
In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …
Multivariate utility maximization with proportional transaction costs
L Campi, MP Owen - Finance and stochastics, 2011 - Springer
We present an optimal investment theorem for a currency exchange model with random and
possibly discontinuous proportional transaction costs. The investor's preferences are …
possibly discontinuous proportional transaction costs. The investor's preferences are …
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
E Denis, Y Kabanov - Finance and Stochastics, 2012 - Springer
In contrast with the classical models of frictionless financial markets, market models with
proportional transaction costs, even satisfying usual no-arbitrage properties, may admit …
proportional transaction costs, even satisfying usual no-arbitrage properties, may admit …
[图书][B] Asymptotic theory of transaction costs
W Schachermayer - 2017 - math.columbia.edu
The present lecture notes are based on several advanced courses which I gave at the
University of Vienna between 2011 and 2013. In 2015 I gave a similar course (“Nachdiplom …
University of Vienna between 2011 and 2013. In 2015 I gave a similar course (“Nachdiplom …