Pages that link to "Item:Q662437"

The following pages link to On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437):

Displaying 14 items.

• The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
• On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales (Q424488) (← links)
• On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
• Remarks on Föllmer's pathwise Itô calculus (Q2272807) (← links)
• Two explicit Skorokhod embeddings for simple symmetric random walk (Q2274306) (← links)
• On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (Q2347466) (← links)
• On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
• Martingale Inequalities for the Maximum via Pathwise Arguments (Q2798582) (← links)
• THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS (Q2799996) (← links)
• THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS (Q2968274) (← links)
• Exit problems for general draw-down times of spectrally negative Lévy processes (Q5226250) (← links)
• Geometry of vectorial martingale optimal transportations and duality (Q6120844) (← links)