On the minimal martingale measure and the möllmer-schweizer decomposition

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A general version of the fundamental theorem of asset pricing
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Martingale densities for general asset prices
On the existence and characterization of arbitrage–free measure in contingent claim valuation
Option Pricing Under Incompleteness and Stochastic Volatility
Sur l'int�grabilit� uniforme des martingales exponentielles
The strong ergodic theorem for densities: Generalized Shannon-McMillan- Breiman theorem

Cited in

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Nonlinear stochastic integrals for hyperfinite Lévy processes
Minimal Hellinger martingale measures of order \(q\)
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Martingale laws, densities and decomposition of Föllmer-Schweizer
A note on the existence of unique equivalent martingale measures in a Markovian setting
Value preserving portfolio strategies and the minimal martingale measure
On the diversity of equity markets
\(\mathcal E\)-martingales and their applications in mathematical finance
Applications of the method of compactness and decomposition: minimization, convergence of martingales, multivalued Fatou lemma
On transformations of actuarial valuation principles.
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Characterization of arbitrage-free markets
Additional logarithmic utility of an insider
Mean-variance hedging for discontinuous semimartingales.
Approximation pricing and the variance-optimal martingale measure
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
The opportunity process for optimal consumption and investment with power utility
On pricing and hedging in financial markets with long-range dependence
Time-consistent mean-variance portfolio selection in discrete and continuous time
A minimality property of the minimal martingale measure
Time-consistent asymptotic exponential arbitrage with small probable maximum loss
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
Stochastic integrals and two filtrations
No arbitrage in continuous financial markets
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
Analytical pricing of vulnerable options under a generalized jump-diffusion model
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
Catastrophe risk bonds with applications to earthquakes
Structure condition under initial enlargement of filtration
On the structure of general mean-variance hedging strategies
Unit-linked life insurance policies: optimal hedging in partially observable market models
Endogenous current coupons
Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
The Bellman equation for power utility maximization with semimartingales
Risk aversion asymptotics for power utility maximization
Local risk-minimization under the benchmark approach
On convergence to the exponential utility problem
Stability of utility-maximization in incomplete markets
Minimal \(f^q\)-Martingale measures for exponential Lévy processes
Option pricing for time-change exponential Lévy model under MEMM
Quadratic hedging methods for defaultable claims
Some properties of the variance-optimal martingale measure for discontinuous semimartingales
Dynamic programming principle and computable prices in financial market models with transaction costs
Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
Information on jump sizes and hedging
Informed traders' hedging with news arrivals
Diffusion-based models for financial markets without martingale measures
Minimal martingale measure on a finite probability space
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Separation results for multi-product inventory hedging problems
Variance optimal hedging for continuous time additive processes and applications
Drift operator in a viable expansion of information flow
Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
Stability of the exponential utility maximization problem with respect to preferences
M6—On Minimal Market Models and Minimal Martingale Measures
CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
A continuous-time model for reinvestment risk in bond markets
No Arbitrage and the Growth Optimal Portfolio
On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
The Mean-Variance Hedging of a Defaultable Option with Partial Information
Local risk minimization for defaultable markets
Mean-variance hedging with oil futures
Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
Reviewing alternative characterizations of Meixner process
Optimal martingale measures for defaultable assets
Local risk-minimization for defaultable claims with recovery process
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Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
An f-divergence approach for optimal portfolios in exponential Lévy models
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
On arbitrages arising with honest times
Pricing participating policies under the Meixner process and stochastic volatility
The Föllmer–Schweizer decomposition under incomplete information
Pricing European options with stochastic volatility under the minimal entropy martingale measure
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
Structure Conditions under Progressively Added Information
A revised option pricing formula with the underlying being banned from short selling
A general class of distortion operators for pricing contingent claims with applications to CAT bonds
Weak and strong no-arbitrage conditions for continuous financial markets
Risk-neutral measures and pricing for a pure jump price process
Hedging the risk of delayed data in defaultable markets
A note on convergence of option prices and their Greeks for Lévy models
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
Pricing rules under asymmetric information
Change of filtrations and mean–variance hedging
A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
A Discrete-Time Model for Reinvestment Risk in Bond Markets

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