Making Markov martingales meet marginals: With explicit constructions
From MaRDI portal
Publication:701681
zbMath1009.60037MaRDI QIDQ701681
Publication date: 7 April 2003
Published in: Bernoulli (Search for Journal in Brave)
Related Items (56)
Fine properties of the optimal Skorokhod embedding problem ⋮ Some results on Skorokhod embedding and robust hedging with local time ⋮ Joint Modelling of Gas and Electricity Spot Prices ⋮ On the Uniqueness of Martingales with Certain Prescribed Marginals ⋮ Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging ⋮ Adapted hedging ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ Mimicking an Itō process by a solution of a stochastic differential equation ⋮ On taxed spectrally negative Lévy processes with draw-down stopping ⋮ Weak decreasing stochastic order ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets ⋮ SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ A necessary characteristic equation of diffusion processes having Gaussian marginals ⋮ Quantizations of probability measures and preservation of the convex order ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ Faking Brownian motion with continuous Markov martingales ⋮ A Dubins type solution to the Skorokhod embedding problem ⋮ LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES ⋮ Fake exponential Brownian motion ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Additive logistic processes in option pricing ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ A family of non-Gaussian martingales with Gaussian marginals ⋮ A continuous non-Brownian motion martingale with Brownian motion marginal distributions ⋮ Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions ⋮ MRL order, log-concavity and an application to peacocks ⋮ Lévy random bridges and the modelling of financial information ⋮ Recovering a time-homogeneous stock price process from perpetual option prices ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Diffusion-type models with given marginal distribution and autocorrelation function ⋮ Random characteristics for Wigner matrices ⋮ Martingale Inequalities for the Maximum via Pathwise Arguments ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ From local volatility to local Lévy models ⋮ Symmetric martingales and symmetric smiles ⋮ Mimicking self-similar processes ⋮ Forward equations for option prices in semimartingale models ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Subordination, self-similarity, and option pricing ⋮ Mean residual life processes and associated submartingales ⋮ On Martingales with Given Marginals and the Scaling Property ⋮ A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling ⋮ Constructing Self-Similar Martingales via Two Skorokhod Embeddings ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ The maximum maximum of a martingale with given \(n\) marginals
This page was built for publication: Making Markov martingales meet marginals: With explicit constructions
