Pages that link to "Item:Q2485828"
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The following pages link to Minimal entropy preserves the Lévy property: how and why (Q2485828):
Displaying 36 items.
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities (Q492168) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
- On \(q\)-optimal martingale measures in exponential Lévy models (Q1003349) (← links)
- A Lévy-driven rainfall model with applications to futures pricing (Q1621995) (← links)
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies (Q1740520) (← links)
- Utility indifference hedging with exponential additive processes (Q1959132) (← links)
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (Q2238770) (← links)
- Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
- Logarithmic utility maximization in an exponential Lévy model (Q2356496) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
- A continuous-time model of self-protection (Q2697501) (← links)
- OPTIMALITY OF PAYOFFS IN LÉVY MODELS (Q2929383) (← links)
- The Risk Premium and the Esscher Transform in Power Markets (Q3119080) (← links)
- Rational term structure models with geometric Lévy martingales (Q3145086) (← links)
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT (Q3393967) (← links)
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (Q3462260) (← links)
- Pricing jump risk with utility indifference (Q3623407) (← links)
- An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models (Q4561928) (← links)
- Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
- Shot-Noise Processes in Finance (Q4609026) (← links)
- Pricing longevity-linked derivatives using a stochastic mortality model (Q5077955) (← links)
- The pricing of compound option under variance gamma process by FFT (Q5079198) (← links)
- On the minimal entropy martingale measure for Lévy processes (Q5086534) (← links)
- Price Index Insurances in the Agriculture Markets (Q5165012) (← links)
- General theory of geometric Lévy models for dynamic asset pricing (Q5345963) (← links)
- On Convergence to the Exponential Utility Problem with Jumps (Q5443470) (← links)
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (Q5484637) (← links)
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (Q5692939) (← links)
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets (Q6619588) (← links)
