Diffusion-based models for financial markets without martingale measures
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- Jacopo Mancin & Wolfgang J. Runggaldier, 2015. "On the Existence of Martingale Measures in Jump Diffusion Market Models," Papers 1511.08349, arXiv.org.
- Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
- Fontana, Claudio & Grbac, Zorana & Jeanblanc, Monique & Li, Qinghua, 2014. "Information, no-arbitrage and completeness for asset price models with a change point," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3009-3030.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
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