Toward A Convergence Theory For Continuous Stochastic Securities Market Models1

DOI10.1111/J.1467-9965.1991.TB00004.XMaRDI QIDQ4345879zbMATH OpenOpenAlexFDO

Authors Walter Willinger, Murad S. Taqqu

Publication date 31 August 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1991.tb00004.x

zbMATH Keywords

approximation in distributionapproximation modelscontinuous tradingcontinuous-time stochastic securitiesconvergence theoryfinancial markets

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites work

• A Characterization of Complete Security Markets On A Brownian Filtration¹
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• A Nonstandard Approach to Option Pricing
• A stochastic calculus model of continuous trading: Complete markets
• Adapted Probability Distributions
• An Intertemporal General Equilibrium Model of Asset Prices
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Calcul stochastique et problèmes de martingales
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Dynamic spanning without probabilities
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
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• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Information structure and equilibrium asset prices
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingales and arbitrage in multiperiod securities markets
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• Martingales and stochastic integrals in the theory of continuous trading
• Non-standard analysis
• On the use of semimartingales and stochastic integrals to model continuous trading
• Optimization Problems in the Theory of Continuous Trading
• Option pricing: A simplified approach
• Pathwise stochastic integration and applications to the theory of continuous trading
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• The analysis of finite security markets using martingales
• The pricing of options and corporate liabilities
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(8)

• Convergence in incomplete market models
• On stability of continuous time models of a financial market.
• Efficient hedging of options with probabilistic Haar wavelets
• When is time continuous?
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Convergence of Disturbed Martingales and a Stochastic Model for Annuity Funds
• Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
• The structure of optimal consumption streams in general incomplete markets

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