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Single jump processes and strict local martingales

  • Published:2016-02 Issue:2 Volume:126 Page:337-359
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Herdegen Martin,Herrmann Sebastian

Funder

Swiss Finance Institute and by the National Centre of Competence in Research

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference19 articles.

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

2. Some particular problems of martingale theory;Cherny,2006

3. Sur la représentation des martingales comme intégrales stochastiques dans les processus ponctuels;Chou,1975

4. Local martingales, bubbles and option prices;Cox;Finance Stoch.,2005

5. Arbitrage possibilities in Bessel processes and their relations to local martingales;Delbaen;Probab. Theory Related Fields,1995

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1. The Joint Law of a Max-Continuous Local Submartingale and Its Maximum;Theory of Probability & Its Applications;2021-01

2. Single Jump Filtrations: Preservation of the Local Martingale Property with Respect to the Filtration Generated by the Local Martingale;Operator Theory and Harmonic Analysis;2021

3. INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS;International Journal of Theoretical and Applied Finance;2020-11

4. Single jump filtrations and local martingales;Modern Stochastics: Theory and Applications;2020

5. Piecewise constant martingales and lazy clocks;Probability, Uncertainty and Quantitative Risk;2019-02-11
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