On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
From MaRDI portal
Publication:1039919
DOI10.1155/2009/215817zbMath1176.62103WikidataQ58648155 ScholiaQ58648155MaRDI QIDQ1039919
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/231448
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G80: Financial applications of other theories
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Making Markov martingales meet marginals: With explicit constructions
- Martingale methods in financial modelling.
- Risk-neutral valuation of participating life insurance contracts
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Optimal consumption and portfolio choice for pooled annuity funds
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A note on the existence of unique equivalent martingale measures in a Markovian setting
- Extremal behavior of diffusion models in finance
- Continuous exponential martingales and BMO
- A general version of the fundamental theorem of asset pricing
- A hyperbolic diffusion model for stock prices
- No arbitrage condition for positive diffusion price processes
- Diffusion-type models with given marginal distribution and autocorrelation function
- A necessary and sufficient condition for absence of arbitrage with tame portfolios
- Financial valuation of guaranteed minimum withdrawal benefits
- Generalized Hyperbolic Diffusion Processes with Applications in Finance
- On solutions of one-dimensional stochastic differential equations without drift
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- On the martingale property of stochastic exponentials
- Financial Modelling with Jump Processes
- Processes with volatility‐induced stationarity: an application for interest rates
- The Calculus of Retirement Income
- A Stochastic Volatility Alternative to SABR
- Conditions for absolute continuity between a certain pair of probability measures
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
