Arbitrage Theory in Continuous Time
From MaRDI portal
Publication:5216742
DOI10.1093/oso/9780198851615.001.0001zbMath1460.91001OpenAlexW4285771701MaRDI QIDQ5216742
Publication date: 18 February 2020
Full work available at URL: https://doi.org/10.1093/oso/9780198851615.001.0001
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial markets (91G15)
Related Items (11)
Ramsey rule with forward/backward utility for long-term yield curves modeling ⋮ Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ A stochastic control perspective on term structure models with roll-over risk ⋮ Discount models ⋮ Asset pricing with dynamically inconsistent agents ⋮ A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment ⋮ On the fundamental solution for degenerate Kolmogorov equations with rough coefficients ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES
This page was built for publication: Arbitrage Theory in Continuous Time
