scientific article; zbMATH DE number 503132

MaRDI QIDQ4279441zbMATH OpenFDO

Authors Jean-Pascal Ansel, Ch. Stricker

Publication date 7 March 1994

Full work available at URL http://www.numdam.org/item?id=SPS_1993__27__22_0, https://eudml.org/doc/113849

zbMATH Keywords

financial marketincomplete marketsminimal martingale lawsrepresentation for the density

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

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Cited in

(19)

• On the law of one price
• Additional logarithmic utility of an insider
• A minimality property of the minimal martingale measure
• On the risk management of demand deposits: quadratic hedging of interest rate margins
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Stability of utility-maximization in incomplete markets
• Diffusion-based models for financial markets without martingale measures
• Minimal martingale measure on a finite probability space
• Stability of utility maximization in nonequivalent markets
• Risk-minimality and orthogonality of martingales
• BSDEs under partial information and financial applications
• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
• A Counterexample to Several Problems In the Theory of Asset Pricing
• The Föllmer–Schweizer decomposition under incomplete information
• On the uniqueness of martingales with certain prescribed marginals
• Arbitrage and control problems in finance. A presentation
• Special issue: Arbitrage and control problems in finance

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