On the existence of sure profits via flash strategies
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Publication:5226247
DOI10.1017/jpr.2019.32zbMath1422.91650arXiv1708.03099OpenAlexW2964641094MaRDI QIDQ5226247
Claudio Fontana, Eckhard Platen, Markus Pelger
Publication date: 31 July 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.03099
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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Term structure modeling with overnight rates beyond stochastic continuity ⋮ Term structure modelling for multiple curves with stochastic discontinuities
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