scientific article; zbMATH DE number 1064373

MaRDI QIDQ4355847zbMATH OpenFDO

Authors Robert C. Merton

Publication date 19 January 1999

zbMATH Keywords

financial mathematicsstochastic analysisWiener process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05) Right processes (60J40) Diffusion processes (60J60) Portfolio theory (91G10)

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Cited in

(1)

• The practice of portfolio replication. A practical overview of forward and inverse problems

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