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Information, no-arbitrage and completeness for asset price models with a change point

  • Published:2014-09 Issue:9 Volume:124 Page:3009-3030
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Fontana Claudio,Grbac Zorana,Jeanblanc Monique,Li Qinghua

Funder

DFG Research Center MATHEON

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference28 articles.

1. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2002

2. Optimal investment under partial information;Björk;Math. Methods Oper. Res.,2010

3. Changes of filtrations and of probability measures;Brémaud;Z. Wahrscheinlichkeit. verw. Gebiete,1978

4. Carthaginian enlargement of filtrations;Callegaro;ESAIM Probab. Stat.,2013

5. f-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point;Cawston,2013

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1. The martingale problem method revisited;Electronic Journal of Probability;2023-01-01

2. No arbitrage in continuous financial markets;Mathematics and Financial Economics;2020-03-14

3. Semiparametric method for detecting multiple change points model in financial time series;Communications in Statistics - Theory and Methods;2018-03

4. Utility maximization under risk constraints and incomplete information for a market with a change point;Applied Mathematical Finance;2017-09-03

5. Semiparametric test for multiple change-points based on empirical likelihood;Communications in Statistics - Theory and Methods;2016-04-25
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