Journal: Finance and Stochastics

Abbreviation

Finance stoch.

Publisher

Springer

Journal Volumes

ISSN

0949-2984
1432-1122

Description

Filters

Reset filters

Search Results

Publications 1 - 10 of 59
  • On the law of one price
    Item type: Journal Article
    Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; et al. (2004)
    Finance and Stochastics
  • On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
    Item type: Journal Article
    Hefter, Mario; Jentzen, Arnulf (2019)
    Finance and Stochastics
  • On Kolmogorov equations for anisotropic multivariate Levy processes
    Item type: Journal Article
    Reich, N.; Schwab, Christoph; Winter, C. (2010)
    Finance and Stochastics
  • Bounds for Functions of Dependent Risks
    Item type: Journal Article
    Embrechts, Paul; Puccetti, Giovanni (2006)
    Finance and Stochastics
  • Faking Brownian motion with continuous Markov martingales
    Item type: Journal Article
    Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; et al. (2024)
    Finance and Stochastics
    Hamza and Klebaner (2007) [10] posed the problem of constructing martingales with one-dimensional Brownian marginals that differ from Brownian motion, so-called fake Brownian motions. Besides its theoretical appeal, this problem represents the quintessential version of the ubiquitous fitting problem in mathematical finance where the task is to construct martingales that satisfy marginal constraints imposed by market data. Non-continuous solutions to this challenge were given by Madan and Yor (2002) [22], Hamza and Klebaner (2007) [10], Hobson (2016) [11] and Fan et al. (2015) [8], whereas continuous (but non-Markovian) fake Brownian motions were constructed by Oleszkiewicz (2008) [23], Albin (2008) [1], Baker et al. (2006) [4], Hobson (2013) [14], Jourdain and Zhou (2020) [16]. In contrast, it is known from Gyongy (1986) [9], Dupire (1994) [7] and ultimately Lowther (2008) [17] and Lowther (2009) [20] that Brownian motion is the unique continuous strong Markov martingale with one-dimensional Brownian marginals. We took this as a challenge to construct examples of a "barely fake" Brownian motion, that is, continuous Markov martingales with one-dimensional Brownian marginals that miss out only on the strong Markov property.
  • Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
    Item type: Journal Article
    Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; et al. (2018)
    Finance and Stochastics
  • The space of outcomes of semi-static trading strategies need not be closed
    Item type: Journal Article
    Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter (2017)
    Finance and Stochastics
    Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-andhold positions in options on that asset. We show that the space of outcomes of such strategies can have very poor closure properties when all European options for a fixed date T are available for static trading. This causes problems for optimal investment, and stands in sharp contrast to the purely dynamic case classically considered in mathematical finance.
  • Editorial: 25th anniversary of Finance and Stochastics
    Item type: Other Journal Item
    Schweizer, Martin (2022)
    Finance and Stochastics
  • Pathwise superreplication via Vovk’s outer measure
    Item type: Journal Article
    Beiglböck, Mathias; Cox, Alexander M.G.; Huesmann, Martin; et al. (2017)
    Finance and Stochastics
    Since Hobson’s seminal paper (Hobson in Finance Stoch. 2:329–347, 1998), the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing–hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk’s approach to mathematical finance, we derive a model-independent superreplication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.
  • Numerical methods for Lévy processes
    Item type: Journal Article
    Hilber, N.; Reich, N.; Schwab, Christoph; et al. (2009)
    Finance and Stochastics
Publications 1 - 10 of 59