Weak convergence of financial markets.
From MaRDI portal
Publication:1812185
zbMath1094.91002MaRDI QIDQ1812185
Publication date: 18 June 2003
Published in: Springer Finance (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (25)
Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ On the risk management of demand deposits: quadratic hedging of interest rate margins ⋮ MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION ⋮ Optimal Stopping and Reselling of European Options ⋮ Estimating the survival functions in a censored semi-competing risks model ⋮ Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ Stability of utility-maximization in incomplete markets ⋮ Asymptotic asset pricing and bubbles ⋮ Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison ⋮ From discrete to continuous time evolutionary finance models ⋮ Numerical methods for Lévy processes ⋮ Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions ⋮ Continuity of utility maximization under weak convergence ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Rate of convergence of option prices by using the method of pseudomoments ⋮ REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS ⋮ CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Convergence of option rewards for multivariate price processes ⋮ American options and stochastic interest rates ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
This page was built for publication: Weak convergence of financial markets.
