Pages that link to "Item:Q5455263"
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The following pages link to NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (Q5455263):
Displaying 50 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Integrability and tail estimates for Gaussian rough differential equations (Q359700) (← links)
- Smooth density for some nilpotent rough differential equations (Q376255) (← links)
- On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes (Q398201) (← links)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (Q424708) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Consistent price systems in multiasset markets (Q448327) (← links)
- Absence of arbitrage in a general framework (Q470679) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option (Q488919) (← links)
- On the conditional small ball property of multivariate Lévy-driven moving average processes (Q511124) (← links)
- On stochastic calculus related to financial assets without semimartingales (Q645948) (← links)
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (Q666368) (← links)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
- Simple arbitrage (Q691114) (← links)
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs (Q740666) (← links)
- On data depth in infinite dimensional spaces (Q743997) (← links)
- Fractional term structure models: No-arbitrage and consistency (Q835070) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
- Sticky processes, local and true martingales (Q1708983) (← links)
- Maximum likelihood estimators of a long-memory process from discrete observations (Q1712209) (← links)
- Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise (Q1731893) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Fundamental theorem of asset pricing under fixed and proportional transaction costs (Q2022927) (← links)
- Stochastic partial differential equations with gradient driven by space-time fractional noises (Q2048173) (← links)
- Optimal long-term investment in illiquid markets when prices have negative memory (Q2064830) (← links)
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion (Q2087506) (← links)
- Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions (Q2132956) (← links)
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques (Q2153083) (← links)
- Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
- Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
- Pricing by hedging and no-arbitrage beyond semimartingales (Q2271717) (← links)
- No arbitrage and lead-lag relationships (Q2273697) (← links)
- Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory (Q2325371) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
- A closed-form approximation for the fractional Black-Scholes model with transaction costs (Q2629413) (← links)
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise (Q2637204) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Shadow price approximation for the fractional Black Scholes model (Q2693249) (← links)
- Small time central limit theorems for semimartingales with applications (Q2804007) (← links)
- From Market Data to Agent-Based Models and Stochastic Differential Equations (Q2832858) (← links)
- Stochastic evolution equations driven by Liouville fractional Brownian motion (Q2897342) (← links)
