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Citations for "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets"

by Kramkov, D.O.

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  1. Nicole El Karoui & Asma Meziou, 2008. "Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance," Papers 0804.2561, arXiv.org.
  2. Föllmer, Hans & Kabanov, Jurij M., 1997. "Optional decomposition and lagrange multipliers," SFB 373 Discussion Papers 1997,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
  4. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  5. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 19 Nov 2002.
  6. Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org.
  7. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  8. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  9. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  10. Matos, Joao Amaro de & Lacerda, Ana, 2004. "Dry Markets and Superreplication Bounds of American Derivatives," FEUNL Working Paper Series wp461, Universidade Nova de Lisboa, Faculdade de Economia.
  11. Mania, M., 2000. "A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 19-42, November.
  12. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  13. Simone Scotti, 2012. "Asset Pricing under uncertainty," Papers 1203.5664, arXiv.org.
  14. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
  15. Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
  16. Jeanblanc, Monique & Dana, Rose-Anne, 2007. "Financial markets in continuous time," Economics Papers from University Paris Dauphine 123456789/5374, Paris Dauphine University.
  17. Nguyen-Thanh Long, 2004. "Investment optimization under constraints," Mathematical Methods of Operations Research, Springer, vol. 60(2), pages 175-201, October.
  18. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  19. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Papers 1308.2324, arXiv.org.
  20. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  21. Tahir Choulli & Jun Deng & Junfeng Ma, 2012. "How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related," Papers 1211.4598, arXiv.org, revised Jun 2014.
  22. Xiang Yu, 2011. "Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets," Papers 1112.2940, arXiv.org, revised Apr 2014.
  23. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
  24. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
  25. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
  26. Sara Biagini & Marco Frittelli, 2005. "On the super replication price of unbounded claims," Papers math/0503550, arXiv.org.
  27. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18.
  28. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
  29. Kasper Larsen & H. Mete Soner & Gordan Zitkovic, 2014. "Facelifting in Utility Maximization," Papers 1404.2227, arXiv.org.
  30. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
  31. Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116.
  32. Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
  33. Wei Chen, 2013. "G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty," Papers 1401.0677, arXiv.org.
  34. Bellamy, Nadine, 2001. "Wealth optimization in an incomplete market driven by a jump-diffusion process," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 259-287, April.
  35. Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
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