Pages that link to "Item:Q2267544"

The following pages link to Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544):

Displaying 34 items.

• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Simple examples of pure-jump strict local martingales (Q491181) (← links)
• A characterization of the martingale property of exponentially affine processes (Q550153) (← links)
• On the martingale property of certain local martingales (Q664349) (← links)
• Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
• Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty (Q2122611) (← links)
• Affine pure-jump processes on positive Hilbert-Schmidt operators (Q2157326) (← links)
• Dynamic asset allocation with relative wealth concerns in incomplete markets (Q2181530) (← links)
• No arbitrage in continuous financial markets (Q2190064) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Linearized filtering of affine processes using stochastic Riccati equations (Q2289789) (← links)
• Exponential moments of affine processes (Q2341630) (← links)
• Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
• A weak convergence criterion for constructing changes of measure (Q2811915) (← links)
• Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
• ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
• HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206) (← links)
• Structure-preserving equivalent martingale measures for ℋ-SII models (Q4684922) (← links)
• On the existence of semimartingales with continuous characteristics (Q5086516) (← links)
• Volatility Options in Rough Volatility Models (Q5112731) (← links)
• A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period (Q5131416) (← links)
• Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates (Q5886356) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• An infinite‐dimensional affine stochastic volatility model (Q6054429) (← links)
• Non-linear affine processes with jumps (Q6090956) (← links)
• Simplified calculus for semimartingales: multiplicative compensators and changes of measure (Q6157012) (← links)