Principles for modelling financial markets
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Publication:4716086
DOI10.2307/3215342zbMath0865.60048OpenAlexW2321241044MaRDI QIDQ4716086
Eckhard Platen, Rolando Rebolledo Berroeta
Publication date: 19 November 1996
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215342
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)
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Risk-sensitive control and an optimal investment model. II. ⋮ Limiting distributions for minimum relative entropy calibration ⋮ TESTING FOR THE MARKOV PROPERTY IN TIME SERIES ⋮ Semiparametric diffusion estimation and application to a stock market index ⋮ A minimality property of the minimal martingale measure ⋮ MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES ⋮ A stochastic control model of investment, production and consumption ⋮ Optimal long term growth rate of expected utility of wealth
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