Minimal Martingale Measure-Reference-Cited by-同舟云学术

Minimal Martingale Measure

Published:2010-05-15 Issue: Volume: Page:
ISSN:
Container-title:Encyclopedia of Quantitative Finance
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Author:

Föllmer Hans,Schweizer Martin

Publisher

John Wiley & Sons, Ltd

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9780470061602.eqf04015/fullpdf

Reference55 articles.

1. The relations between minimal martingale measure and minimal entropy martingale measure;Arai;Asia-Pacific Financial Markets,2001

2. The numeraire portfolio for unbounded semimartingales;Becherer;Finance and Stochastics,2001

3. Berrier , F. Rogers , L.C.G. Tehranchi , M. 2008 A Characterization of Forward Utility Functions preprint http://www.statslab.cam.ac.uk/∼mike/forward-utilities.pdf

4. Local risk minimization and numeraire;Biagini;Journal of Applied Probability,1999

5. Towards a general theory of good-deal bounds;Björk;The Review of Finance,2006

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