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Author
Date
2010Type
- Encyclopedia Entry
ETH Bibliography
yes
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Publication status
publishedExternal links
Editor
Book title
Encyclopedia of Quantitative FinanceVolume
Pages / Article No.
Publisher
John Wiley & SonsSubject
Martingale measure; Relative entropy; Exponential utility maximization; Duality; Exponential Lévy process; Esscher transform; Utility indifference valuation; Backward stochastic differential equationsOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
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ETH Bibliography
yes
Altmetrics