Conic martingales from stochastic integrals
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Note: In : Mathematical Finance, 28, 516-535, 2018
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Other versions of this item:
- Monique Jeanblanc & Frédéric Vrins, 2018. "Conic martingales from stochastic integrals," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 516-535, April.
- Fr'ed'eric Vrins & Monique Jeanblanc, 2016. "Conic Martingales from Stochastic Integrals," Papers 1603.07488, arXiv.org.
References listed on IDEAS
- Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
Citations
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Cited by:
- Frédéric Vrins, 2017.
"Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
- Vrins, Frédéric, 2017. "Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics," LIDAM Reprints LFIN 2017001, Université catholique de Louvain, Louvain Finance (LFIN).
- Frédéric Vrins, 2017. "Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics," LIDAM Reprints CORE 2922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020.
"SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions,"
Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
- BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric, 2016. "SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions," LIDAM Discussion Papers CORE 2016046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
- Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Cheikh Mbaye & Frédéric Vrins, 2018.
"A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-22, November.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2018. "A subordinated CIR intensity model with application to Wrong-Way risk CVA," Papers 1801.05673, arXiv.org.
- Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mbaye, Cheikh & Vrins, Frédéric, 2018. "A subordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints LFIN 2018016, Université catholique de Louvain, Louvain Finance (LFIN).
- Cheikh Mbaye & Frédéric Vrins, 2022.
"Affine term structure models: A time‐change approach with perfect fit to market curves,"
Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "Affine term structure models : a time-changed approach with perfect fit to market curves," Papers 1903.04211, arXiv.org, revised Jan 2020.
- Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
- Mbaye, Cheikh & Vrins, Frédéric, 2021. "Affine term structure models: a time-change approach with perfect fit to market curves," LIDAM Reprints LFIN 2021024, Université catholique de Louvain, Louvain Finance (LFIN).
- BRIGO, Damiano & VRINS, Frédéric, 2018.
"Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures,"
European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
- Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
- Damiano Brigo & Frédéric Vrins, 2018. "Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures," LIDAM Reprints CORE 2949, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.
- Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
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