Hussein, Boushra Y. Equivalent locally martingale measure for the deflator process on ordered Banach algebra. (English) Zbl 1448.91284 J. Math. 2020, Article ID 5785098, 7 p. (2020). MSC: 91G15 91G80 60G42 60G44 PDF BibTeX XML Cite \textit{B. Y. Hussein}, J. Math. 2020, Article ID 5785098, 7 p. (2020; Zbl 1448.91284) Full Text: DOI OpenURL
Boen, Lynn European rainbow option values under the two-asset Merton jump-diffusion model. (English) Zbl 1429.91316 J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020). MSC: 91G20 60G44 60J76 PDF BibTeX XML Cite \textit{L. Boen}, J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020; Zbl 1429.91316) Full Text: DOI OpenURL
Vilar-Zanón, José L.; Peraita-Ezcurra, Olivia A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy. (English) Zbl 1426.91280 Decis. Econ. Finance 42, No. 1, 259-276 (2019). MSC: 91G20 90C29 PDF BibTeX XML Cite \textit{J. L. Vilar-Zanón} and \textit{O. Peraita-Ezcurra}, Decis. Econ. Finance 42, No. 1, 259--276 (2019; Zbl 1426.91280) Full Text: DOI OpenURL
Flore, Federico; Nappo, Giovanna A Feynman-Kac type formula for a fixed delay CIR model. (English) Zbl 1416.91384 Stochastic Anal. Appl. 37, No. 4, 550-573 (2019). MSC: 91G30 60H10 34K50 PDF BibTeX XML Cite \textit{F. Flore} and \textit{G. Nappo}, Stochastic Anal. Appl. 37, No. 4, 550--573 (2019; Zbl 1416.91384) Full Text: DOI arXiv OpenURL
Mykland, Per A.; Zhang, Lan; Chen, Dachuan The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times. (English) Zbl 1452.62782 J. Econom. 208, No. 1, 101-119 (2019). MSC: 62P05 60F05 60G44 62M09 62P20 PDF BibTeX XML Cite \textit{P. A. Mykland} et al., J. Econom. 208, No. 1, 101--119 (2019; Zbl 1452.62782) Full Text: DOI OpenURL
Kociński, Marek Andrzej Partial hedging of American contingent claims in a finite discrete time model. (English) Zbl 1419.91621 Appl. Math. 45, No. 2, 161-180 (2018). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{M. A. Kociński}, Appl. Math. 45, No. 2, 161--180 (2018; Zbl 1419.91621) Full Text: DOI OpenURL
Criens, David Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models. (English) Zbl 1401.60075 J. Appl. Probab. 55, No. 1, 1-14 (2018). MSC: 60G44 60G48 60G51 91B70 60G22 PDF BibTeX XML Cite \textit{D. Criens}, J. Appl. Probab. 55, No. 1, 1--14 (2018; Zbl 1401.60075) Full Text: DOI arXiv OpenURL
Petrović, Ljiljana; Valjarević, Dragana Statistical causality and extremal measures. (English) Zbl 1393.60043 Bull. Korean Math. Soc. 55, No. 2, 561-572 (2018). MSC: 60G44 60G40 60H30 PDF BibTeX XML Cite \textit{L. Petrović} and \textit{D. Valjarević}, Bull. Korean Math. Soc. 55, No. 2, 561--572 (2018; Zbl 1393.60043) Full Text: Link OpenURL
Criens, David Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. (English) Zbl 1395.91531 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850002, 41 p. (2018). MSC: 91G99 91B24 60H10 60G44 PDF BibTeX XML Cite \textit{D. Criens}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850002, 41 p. (2018; Zbl 1395.91531) Full Text: DOI arXiv OpenURL
Witzany, Jiří Elementary stochastic calculus for finance with infinitesimals. (English) Zbl 1424.60070 Commentat. Math. Univ. Carol. 58, No. 1, 101-124 (2017). MSC: 60H05 91G20 60H30 PDF BibTeX XML Cite \textit{J. Witzany}, Commentat. Math. Univ. Carol. 58, No. 1, 101--124 (2017; Zbl 1424.60070) Full Text: DOI OpenURL
Xanthopoulos, Stylianos Z. Relative entropy criterion and CAPM-like pricing. (English) Zbl 1407.91240 Pinto, Alberto A. (ed.) et al., Trends in mathematical economics. Dialogues between Southern Europe and Latin America. Selected papers based on the presentations at the conferences: 3rd international conference on dynamics, games and science, DGS III, on the occasion of the 50th birthday of Alberto A. Pinto, Porto, Portugal, February 17–21, 2014, the 1st Hellenic-Portuguese meeting on mathematical economics, AUEB, Athens, Greece, and the XV Jornadas Latinoamericanas de Teoría Económica, JOLATE, Guanajuato, México. Cham: Springer. 369-379 (2016). MSC: 91G10 91G80 60G42 PDF BibTeX XML Cite \textit{S. Z. Xanthopoulos}, in: Trends in mathematical economics. Dialogues between Southern Europe and Latin America. Selected papers based on the presentations at the conferences: 3rd international conference on dynamics, games and science, DGS III, on the occasion of the 50th birthday of Alberto A. Pinto, Porto, Portugal, February 17--21, 2014, the 1st Hellenic-Portuguese meeting on mathematical economics, AUEB, Athens, Greece, and the XV Jornadas Latinoamericanas de Teoría Económica, JOLATE, Guanajuato, México. Cham: Springer. 369--379 (2016; Zbl 1407.91240) Full Text: DOI OpenURL
Ratanov, Nikita Option pricing under jump-diffusion processes with regime switching. (English) Zbl 1350.91017 Methodol. Comput. Appl. Probab. 18, No. 3, 829-845 (2016). Reviewer: George Stoica (Saint John) MSC: 91G20 60G44 60J75 PDF BibTeX XML Cite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 18, No. 3, 829--845 (2016; Zbl 1350.91017) Full Text: DOI OpenURL
Mykland, Per A.; Zhang, Lan Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. (English) Zbl 1443.62366 J. Econom. 194, No. 2, 242-262 (2016). MSC: 62P05 60F05 60G44 62F12 PDF BibTeX XML Cite \textit{P. A. Mykland} and \textit{L. Zhang}, J. Econom. 194, No. 2, 242--262 (2016; Zbl 1443.62366) Full Text: DOI OpenURL
Momeya, Romuald Hervé; Morales, Manuel On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model. (English) Zbl 1411.91576 Methodol. Comput. Appl. Probab. 18, No. 1, 107-135 (2016). MSC: 91G20 91G60 60G44 60G51 PDF BibTeX XML Cite \textit{R. H. Momeya} and \textit{M. Morales}, Methodol. Comput. Appl. Probab. 18, No. 1, 107--135 (2016; Zbl 1411.91576) Full Text: DOI OpenURL
Ben Abdelwahed, Imen; Trabelsi, Faouzi On convergence of the utility indifference pricing in the model preserving the CGMY minimal entropy martingale measure. (English) Zbl 1390.91292 Int. J. Math. Oper. Res. 7, No. 4, 428-463 (2015). MSC: 91G20 60G44 60G51 PDF BibTeX XML Cite \textit{I. Ben Abdelwahed} and \textit{F. Trabelsi}, Int. J. Math. Oper. Res. 7, No. 4, 428--463 (2015; Zbl 1390.91292) Full Text: DOI OpenURL
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon Option pricing for symmetric Lévy returns with applications. (English) Zbl 1368.91171 Asia-Pac. Financ. Mark. 22, No. 1, 27-52 (2015). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{K. Hamza} et al., Asia-Pac. Financ. Mark. 22, No. 1, 27--52 (2015; Zbl 1368.91171) Full Text: DOI arXiv OpenURL
Zhao, Pan; Xiao, Qingxian A construction of equivalent martingale measures in a regime-switching model. (Chinese. English summary) Zbl 1340.91038 Chin. J. Eng. Math. 32, No. 4, 475-484 (2015). MSC: 91B25 91G70 91G20 PDF BibTeX XML Cite \textit{P. Zhao} and \textit{Q. Xiao}, Chin. J. Eng. Math. 32, No. 4, 475--484 (2015; Zbl 1340.91038) Full Text: DOI OpenURL
Chandra, Sudip Ratan; Mukherjee, Diganta; SenGupta, Indranil PIDE and solution related to pricing of Lévy driven arithmetic type floating Asian options. (English) Zbl 1335.91078 Stochastic Anal. Appl. 33, No. 4, 630-652 (2015). MSC: 91G20 60G51 35R09 35Q91 91G60 91G80 PDF BibTeX XML Cite \textit{S. R. Chandra} et al., Stochastic Anal. Appl. 33, No. 4, 630--652 (2015; Zbl 1335.91078) Full Text: DOI OpenURL
Xu, Hong-Kun The valuation of powered options. (English) Zbl 1335.91090 J. Nonlinear Convex Anal. 16, No. 7, 1461-1471 (2015). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{H.-K. Xu}, J. Nonlinear Convex Anal. 16, No. 7, 1461--1471 (2015; Zbl 1335.91090) Full Text: Link OpenURL
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro Two versions of the fundamental theorem of asset pricing. (English) Zbl 1326.60007 Electron. J. Probab. 20, Paper No. 34, 21 p. (2015). MSC: 60A05 60A10 28C05 91B25 91G10 PDF BibTeX XML Cite \textit{P. Berti} et al., Electron. J. Probab. 20, Paper No. 34, 21 p. (2015; Zbl 1326.60007) Full Text: DOI arXiv OpenURL
Kardaras, Constantinos; Kreher, Dörte; Nikeghbali, Ashkan Strict local martingales and bubbles. (English) Zbl 1336.91076 Ann. Appl. Probab. 25, No. 4, 1827-1867 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G30 60G44 60G48 91G99 PDF BibTeX XML Cite \textit{C. Kardaras} et al., Ann. Appl. Probab. 25, No. 4, 1827--1867 (2015; Zbl 1336.91076) Full Text: DOI arXiv Euclid OpenURL
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio Equivalent or absolutely continuous probability measures with given marginals. (English) Zbl 1328.60007 Depend. Model. 3, 47-58 (2015). MSC: 60A05 60A10 28A35 PDF BibTeX XML Cite \textit{P. Berti} et al., Depend. Model. 3, 47--58 (2015; Zbl 1328.60007) Full Text: DOI OpenURL
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro A unifying view on some problems in probability and statistics. (English) Zbl 1478.60007 Stat. Methods Appl. 23, No. 4, 483-500 (2014). MSC: 60A05 60A10 60G05 PDF BibTeX XML Cite \textit{P. Berti} et al., Stat. Methods Appl. 23, No. 4, 483--500 (2014; Zbl 1478.60007) Full Text: DOI OpenURL
Tassinari, Gian Luca; Corradi, Corrado Valuation of collateralized funds of hedge fund obligations: a basket option pricing approach. (English) Zbl 1418.91543 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 277-288 (2014). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{G. L. Tassinari} and \textit{C. Corradi}, in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10--12, 2012. Cham: Springer. 277--288 (2014; Zbl 1418.91543) Full Text: DOI Link OpenURL
Boughamoura, Wissem; Trabelsi, Faouzi On two-parametric Esscher transform for geometric CGMY Lévy processes. (English) Zbl 1362.60045 Int. J. Oper. Res. 19, No. 3, 280-301 (2014). MSC: 60G51 60H30 91G20 PDF BibTeX XML Cite \textit{W. Boughamoura} and \textit{F. Trabelsi}, Int. J. Oper. Res. 19, No. 3, 280--301 (2014; Zbl 1362.60045) Full Text: DOI OpenURL
Fontana, Claudio A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. (English) Zbl 1337.91153 Stochastics 86, No. 6, 922-931 (2014). MSC: 91G80 60G44 91B25 60H30 60H05 PDF BibTeX XML Cite \textit{C. Fontana}, Stochastics 86, No. 6, 922--931 (2014; Zbl 1337.91153) Full Text: DOI arXiv OpenURL
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities. (English) Zbl 1398.60003 Stochastics 86, No. 1, 135-146 (2014). MSC: 60A05 60A10 28C05 91B25 91G10 PDF BibTeX XML Cite \textit{P. Berti} et al., Stochastics 86, No. 1, 135--146 (2014; Zbl 1398.60003) Full Text: DOI OpenURL
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro Finitely additive equivalent martingale measures. (English) Zbl 1302.60009 J. Theor. Probab. 26, No. 1, 46-57 (2013). MSC: 60A05 60A10 28C05 91B25 91G10 PDF BibTeX XML Cite \textit{P. Berti} et al., J. Theor. Probab. 26, No. 1, 46--57 (2013; Zbl 1302.60009) Full Text: DOI arXiv OpenURL
Jiang, Ying Pricing basket option in a multi-dimensional jump-diffusion model. (Chinese. English summary) Zbl 1299.91142 J. Ningxia Univ., Nat. Sci. Ed. 34, No. 4, 289-293 (2013). MSC: 91G20 62P05 60J60 60J75 PDF BibTeX XML Cite \textit{Y. Jiang}, J. Ningxia Univ., Nat. Sci. Ed. 34, No. 4, 289--293 (2013; Zbl 1299.91142) OpenURL
Shen, Yang; Siu, Tak Kuen Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. (English) Zbl 1290.60066 Insur. Math. Econ. 53, No. 3, 757-768 (2013). MSC: 60H30 60G51 60J27 91A80 91A15 91B50 90C39 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 757--768 (2013; Zbl 1290.60066) Full Text: DOI OpenURL
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma A note on convergence of option prices and their Greeks for Lévy models. (English) Zbl 1284.91539 Stochastics 85, No. 6, 1015-1039 (2013). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Stochastics 85, No. 6, 1015--1039 (2013; Zbl 1284.91539) Full Text: DOI Link OpenURL
Tu, Shuzhen; Li, Shiyin The model and the valuation of compound options with credit risk. (Chinese. English summary) Zbl 1289.91178 J. Xiamen Univ., Nat. Sci. 52, No. 1, 9-13 (2013). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{S. Tu} and \textit{S. Li}, J. Xiamen Univ., Nat. Sci. 52, No. 1, 9--13 (2013; Zbl 1289.91178) OpenURL
Bion-Nadal, Jocelyne; Di Nunno, Giulia Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\). (English) Zbl 1279.46019 Finance Stoch. 17, No. 3, 587-613 (2013). MSC: 46E30 91B70 PDF BibTeX XML Cite \textit{J. Bion-Nadal} and \textit{G. Di Nunno}, Finance Stoch. 17, No. 3, 587--613 (2013; Zbl 1279.46019) Full Text: DOI arXiv OpenURL
Delong, Łukasz No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process. (English) Zbl 1277.91060 Astin Bull. 42, No. 1, 203-232 (2012). MSC: 91B25 91B30 60G55 91G20 PDF BibTeX XML Cite \textit{Ł. Delong}, ASTIN Bull. 42, No. 1, 203--232 (2012; Zbl 1277.91060) Full Text: DOI OpenURL
Tu, Shuzhen; Li, Shiyin The model and valuation of exchange option with credit risk. (Chinese. English summary) Zbl 1265.91066 J. Math. Study 45, No. 2, 198-206 (2012). MSC: 91B25 91B30 PDF BibTeX XML Cite \textit{S. Tu} and \textit{S. Li}, J. Math. Study 45, No. 2, 198--206 (2012; Zbl 1265.91066) OpenURL
López, Oscar; Ratanov, Nikita Option pricing driven by a telegraph process with random jumps. (English) Zbl 1260.91230 J. Appl. Probab. 49, No. 3, 838-849 (2012). MSC: 91G10 91B24 60J27 60J75 PDF BibTeX XML Cite \textit{O. López} and \textit{N. Ratanov}, J. Appl. Probab. 49, No. 3, 838--849 (2012; Zbl 1260.91230) Full Text: DOI Euclid OpenURL
Wang, Bing-jun; Yuan, Ming-xia Equivalent martingale measure of high-order Markov finance model. (Chinese. English summary) Zbl 1254.91728 Ludong Univ. J., Nat. Sci. 28, No. 1, 1-3 (2012). MSC: 91G20 PDF BibTeX XML Cite \textit{B.-j. Wang} and \textit{M.-x. Yuan}, Ludong Univ. J., Nat. Sci. 28, No. 1, 1--3 (2012; Zbl 1254.91728) OpenURL
Buchen, Peter An introduction to exotic option pricing. (English) Zbl 1242.91183 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4200-9100-7/hbk). xvii, 278 p. (2012). Reviewer: Tamás Mátrai (Budapest) MSC: 91G20 91G80 91G60 35E15 35J57 35Q91 60J70 60H30 PDF BibTeX XML Cite \textit{P. Buchen}, An introduction to exotic option pricing. Boca Raton, FL: CRC Press (2012; Zbl 1242.91183) OpenURL
Øksendal, Bernt; Sulem, Agnès Robust stochastic control and equivalent martingale measures. (English) Zbl 1248.93174 Kohatsu-Higa, Arturo (ed.) et al., Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. New York, NY: Springer (ISBN 978-3-0348-0096-9/hbk; 978-3-0348-0097-6/ebook). Progress in Probability 65, 179-189 (2011). MSC: 93E20 60G51 60H20 60G44 91G80 PDF BibTeX XML Cite \textit{B. Øksendal} and \textit{A. Sulem}, Prog. Probab. 65, 179--189 (2011; Zbl 1248.93174) Full Text: DOI Link OpenURL
Mazzola, E.; Muliere, P. Reviewing alternative characterizations of Meixner process. (English) Zbl 1244.60036 Probab. Surv. 8, 127-154 (2011). MSC: 60G07 60G51 60G05 PDF BibTeX XML Cite \textit{E. Mazzola} and \textit{P. Muliere}, Probab. Surv. 8, 127--154 (2011; Zbl 1244.60036) Full Text: DOI Euclid OpenURL
Cheang, Gerald H. L.; Chiarella, Carl Exchange options under jump-diffusion dynamics. (English) Zbl 1239.91160 Appl. Math. Finance 18, No. 3-4, 245-276 (2011); correction ibid. 22, No. 1-2, 99-103 (2015). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{G. H. L. Cheang} and \textit{C. Chiarella}, Appl. Math. Finance 18, No. 3--4, 245--276 (2011; Zbl 1239.91160) Full Text: DOI OpenURL
Xiong, Dewen; Kohlmann, Michael The compatible bond-stock market with jumps. (English) Zbl 1231.91494 Int. J. Theor. Appl. Finance 14, No. 5, 723-755 (2011). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G80 60G99 60H30 PDF BibTeX XML Cite \textit{D. Xiong} and \textit{M. Kohlmann}, Int. J. Theor. Appl. Finance 14, No. 5, 723--755 (2011; Zbl 1231.91494) Full Text: DOI OpenURL
Strong, Winslow; Fouque, Jean-Pierre Diversity and arbitrage in a regulatory breakup model. (English) Zbl 1219.91161 Ann. Finance 7, No. 3, 349-374 (2011). MSC: 91G80 60G48 91B24 PDF BibTeX XML Cite \textit{W. Strong} and \textit{J.-P. Fouque}, Ann. Finance 7, No. 3, 349--374 (2011; Zbl 1219.91161) Full Text: DOI arXiv OpenURL
Prokaj, V.; Rásonyi, M. Local and true martingales in discrete time. (English. Russian original) Zbl 1226.60061 Theory Probab. Appl. 55, No. 2, 325-332 (2011); translation from Teor. Veroyatn. Primen. 55, No. 2, 398-404 (2010). MSC: 60G42 PDF BibTeX XML Cite \textit{V. Prokaj} and \textit{M. Rásonyi}, Theory Probab. Appl. 55, No. 2, 325--332 (2011; Zbl 1226.60061); translation from Teor. Veroyatn. Primen. 55, No. 2, 398--404 (2010) Full Text: DOI OpenURL
Yao, Luogen; Yang, Gang; Yang, Xiangqun A note on the mean correcting martingale measure for geometric Lévy processes. (English) Zbl 1210.91139 Appl. Math. Lett. 24, No. 5, 593-597 (2011). MSC: 91G20 91G80 60G51 PDF BibTeX XML Cite \textit{L. Yao} et al., Appl. Math. Lett. 24, No. 5, 593--597 (2011; Zbl 1210.91139) Full Text: DOI OpenURL
Yao, Luogen; Xiao, Qingchu; Yang, Xiangqun Mean correcting transform method of martingale measures for geometric Lévy processes and its application. (Chinese. English summary) Zbl 1240.60134 Appl. Math., Ser. A (Chin. Ed.) 25, No. 3, 273-278 (2010). MSC: 60G51 60J65 91G20 PDF BibTeX XML Cite \textit{L. Yao} et al., Appl. Math., Ser. A (Chin. Ed.) 25, No. 3, 273--278 (2010; Zbl 1240.60134) OpenURL
Galesso, Giorgia; Runggaldier, Wolfgang J. Pricing without equivalent martingale measures under complete and incomplete observation. (English) Zbl 1229.91132 Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 99-121 (2010). Reviewer: Sören Christensen (Kiel) MSC: 91B25 91B24 91G80 PDF BibTeX XML Cite \textit{G. Galesso} and \textit{W. J. Runggaldier}, in: Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference ``Quantitative methods in finance'', Sydney, Australia, December 2009. Berlin: Springer. 99--121 (2010; Zbl 1229.91132) Full Text: DOI OpenURL
Klusik, Przemysław; Palmowski, Zbigniew; Zwierz, Jakub Quantile hedging for an insider. (English) Zbl 1217.91171 Probab. Math. Stat. 30, No. 2, 247-258 (2010). MSC: 91G10 60H30 60G44 PDF BibTeX XML Cite \textit{P. Klusik} et al., Probab. Math. Stat. 30, No. 2, 247--258 (2010; Zbl 1217.91171) Full Text: arXiv Link OpenURL
Ou, Hui; Yao, Luogen; Yang, Xiangqun An innovation of reset options and its pricing. (Chinese. English summary) Zbl 1212.91109 J. Hunan Univ. Arts Sci., Nat. Sci. 21, No. 3, 13-16 (2009). MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{H. Ou} et al., J. Hunan Univ. Arts Sci., Nat. Sci. 21, No. 3, 13--16 (2009; Zbl 1212.91109) OpenURL
Zhang, Yunliang; Miao, Fang; Liu, Xinping The foreign exchange option pricing of diffusion process with jumps. (Chinese. English summary) Zbl 1212.91114 J. Shaanxi Norm. Univ., Nat. Sci. Ed. 37, No. 6, 15-18 (2009). MSC: 91G20 91G80 60J60 60J75 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Shaanxi Norm. Univ., Nat. Sci. Ed. 37, No. 6, 15--18 (2009; Zbl 1212.91114) OpenURL
Fan, Yulian; Sun, Zhibin Option pricing by the backward stochastic differential equation method and the equivalent probability martingale measure in the jump-diffusion model. (Chinese. English summary) Zbl 1211.91232 Acta Math. Appl. Sin. 32, No. 4, 673-681 (2009). MSC: 91G20 60H10 60G57 60H30 PDF BibTeX XML Cite \textit{Y. Fan} and \textit{Z. Sun}, Acta Math. Appl. Sin. 32, No. 4, 673--681 (2009; Zbl 1211.91232) OpenURL
Yao, Luogen; Ou, Hui; Yang, Xiangqun Comparison of equivalent martingale measures in one-period trinomial tree model. (Chinese. English summary) Zbl 1212.91124 J. Nat. Sci. Hunan Norm. Univ. 32, No. 1, 11-15 (2009). MSC: 91G60 91G80 PDF BibTeX XML Cite \textit{L. Yao} et al., J. Nat. Sci. Hunan Norm. Univ. 32, No. 1, 11--15 (2009; Zbl 1212.91124) OpenURL
Wei, Yuesong; Lin, Meiyan The contingent claim pricing with continuous dividend and stochastic volatility. (Chinese. English summary) Zbl 1199.91225 Pure Appl. Math. 25, No. 2, 351-355 (2009). MSC: 91G20 91B25 60G48 PDF BibTeX XML Cite \textit{Y. Wei} and \textit{M. Lin}, Pure Appl. Math. 25, No. 2, 351--355 (2009; Zbl 1199.91225) OpenURL
Mykland, Per A.; Zhang, Lan Inference for continuous semimartingales observed at high frequency. (English) Zbl 1182.62216 Econometrica 77, No. 5, 1403-1445 (2009). MSC: 62P20 60G48 62M05 62P05 PDF BibTeX XML Cite \textit{P. A. Mykland} and \textit{L. Zhang}, Econometrica 77, No. 5, 1403--1445 (2009; Zbl 1182.62216) Full Text: DOI OpenURL
Kardaras, Constantinos No-free-lunch equivalences for exponential Lévy models under convex constraints on investment. (English) Zbl 1168.91368 Math. Finance 19, No. 2, 161-187 (2009). MSC: 91B26 PDF BibTeX XML Cite \textit{C. Kardaras}, Math. Finance 19, No. 2, 161--187 (2009; Zbl 1168.91368) Full Text: DOI arXiv OpenURL
Kardaras, Constantinos Balance, growth and diversity of financial markets. (English) Zbl 1233.91339 Ann. Finance 4, No. 3, 369-397 (2008). MSC: 91G80 91B24 60G48 PDF BibTeX XML Cite \textit{C. Kardaras}, Ann. Finance 4, No. 3, 369--397 (2008; Zbl 1233.91339) Full Text: DOI arXiv OpenURL
Luo, Fuyan; Jia, Zhen Numerical pricing Asian option on stocks driven by the NIG-Levy process. (Chinese. English summary) Zbl 1199.91275 Math. Pract. Theory 38, No. 15, 75-80 (2008). MSC: 91G80 60G48 91G60 91G20 PDF BibTeX XML Cite \textit{F. Luo} and \textit{Z. Jia}, Math. Pract. Theory 38, No. 15, 75--80 (2008; Zbl 1199.91275) OpenURL
Mei, Zhengyang; Yang, Yukong Options valuating of FBM model based on the martingale method. (Chinese. English summary) Zbl 1174.91435 Math. Appl. 21, No. 4, 727-730 (2008). MSC: 91B28 60J65 PDF BibTeX XML Cite \textit{Z. Mei} and \textit{Y. Yang}, Math. Appl. 21, No. 4, 727--730 (2008; Zbl 1174.91435) OpenURL
Meng, Qingxin; Lao, Lanjun; Zhao, Xuelei Pricing American contingent claims with frictions. (Chinese. English summary) Zbl 1174.91437 Chin. J. Appl. Probab. Stat. 24, No. 5, 449-462 (2008). MSC: 91B28 60G46 PDF BibTeX XML Cite \textit{Q. Meng} et al., Chin. J. Appl. Probab. Stat. 24, No. 5, 449--462 (2008; Zbl 1174.91437) OpenURL
Protter, Philip; Shimbo, Kazuhiro No arbitrage and general semimartingales. (English) Zbl 1179.60022 Ethier, Stewart N. (ed.) et al., Markov processes and related topics: A Festschrift for Thomas G. Kurtz. Selected papers of the conference, Madison, WI, USA, July 10–13, 2006. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-76-8/pb). Institute of Mathematical Statistics Collections 4, 267-283 (2008). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G44 60G48 91G10 91G99 PDF BibTeX XML Cite \textit{P. Protter} and \textit{K. Shimbo}, in: Markov processes and related topics: A Festschrift for Thomas G. Kurtz. Selected papers of the conference, Madison, WI, USA, July 10--13, 2006. Beachwood, OH: IMS, Institute of Mathematical Statistics. 267--283 (2008; Zbl 1179.60022) Full Text: DOI OpenURL
Goovaerts, Marc J.; Laeven, Roger J. A. Actuarial risk measures for financial derivative pricing. (English) Zbl 1152.91444 Insur. Math. Econ. 42, No. 2, 540-547 (2008). MSC: 91G20 91G70 91B30 PDF BibTeX XML Cite \textit{M. J. Goovaerts} and \textit{R. J. A. Laeven}, Insur. Math. Econ. 42, No. 2, 540--547 (2008; Zbl 1152.91444) Full Text: DOI Link OpenURL
Guo, Zhi Jun A note on the CIR process and the existence of equivalent martingale measures. (English) Zbl 1133.91501 Stat. Probab. Lett. 78, No. 5, 481-487 (2008). MSC: 91B70 91B28 PDF BibTeX XML Cite \textit{Z. J. Guo}, Stat. Probab. Lett. 78, No. 5, 481--487 (2008; Zbl 1133.91501) Full Text: DOI OpenURL
Jin, Hanqing; Zhou, Xun Yu A fundamental theorem of asset pricing in continuous time with square integrable portfolios. (English) Zbl 1194.91086 Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 87-106 (2007). MSC: 91B25 91G10 60J70 60G48 PDF BibTeX XML Cite \textit{H. Jin} and \textit{X. Y. Zhou}, in: Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3--5, 2005. Hackensack, NJ: World Scientific. 87--106 (2007; Zbl 1194.91086) OpenURL
Ding, Deng; Chan, Kaleong The martingale approach for credit-risky option pricing. (English) Zbl 1150.91357 Chin. J. Appl. Probab. Stat. 23, No. 4, 395-406 (2007). MSC: 91G20 91G40 60H30 PDF BibTeX XML Cite \textit{D. Ding} and \textit{K. Chan}, Chin. J. Appl. Probab. Stat. 23, No. 4, 395--406 (2007; Zbl 1150.91357) OpenURL
Yang, Xiangqun; Wu, Yidong Pricing of exponential European option under jump-diffusion models. (Chinese. English summary) Zbl 1150.91406 J. Guangxi Norm. Univ., Nat. Sci. 25, No. 3, 56-59 (2007). MSC: 91B28 60J70 PDF BibTeX XML Cite \textit{X. Yang} and \textit{Y. Wu}, J. Guangxi Norm. Univ., Nat. Sci. 25, No. 3, 56--59 (2007; Zbl 1150.91406) OpenURL
Edigarian, Armen; Rygiel, Agnieszka An elementary proof of the Dalang–Morton–Willinger theorem. (English) Zbl 1143.60034 Appl. Math. 34, No. 4, 383-388 (2007). Reviewer: Klaus Schürger (Bonn) MSC: 60G42 91B28 PDF BibTeX XML Cite \textit{A. Edigarian} and \textit{A. Rygiel}, Appl. Math. 34, No. 4, 383--388 (2007; Zbl 1143.60034) Full Text: DOI OpenURL
Jacka, Saul; Berkaoui, Abdelkarem On the density of properly maximal claims in financial markets with transaction costs. (English) Zbl 1219.60065 Ann. Appl. Probab. 17, No. 2, 716-740 (2007). MSC: 60H30 60H05 91G10 90C29 PDF BibTeX XML Cite \textit{S. Jacka} and \textit{A. Berkaoui}, Ann. Appl. Probab. 17, No. 2, 716--740 (2007; Zbl 1219.60065) Full Text: DOI arXiv OpenURL
Zwierz, Jakub On existence of local martingale measures for insiders who can stop at honest times. (English) Zbl 1128.60055 Bull. Pol. Acad. Sci., Math. 55, No. 2, 183-192 (2007). Reviewer: Stefan Ankirchner (Berlin) MSC: 60H30 60G44 PDF BibTeX XML Cite \textit{J. Zwierz}, Bull. Pol. Acad. Sci., Math. 55, No. 2, 183--192 (2007; Zbl 1128.60055) Full Text: DOI OpenURL
Çetin, Umut; Rogers, L. C. G. Modeling liquidity effects in discrete time. (English) Zbl 1278.91125 Math. Finance 17, No. 1, 15-29 (2007). MSC: 91G10 91G80 93E20 91G20 PDF BibTeX XML Cite \textit{U. Çetin} and \textit{L. C. G. Rogers}, Math. Finance 17, No. 1, 15--29 (2007; Zbl 1278.91125) Full Text: DOI Link OpenURL
Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula A delayed Black and Scholes formula. (English) Zbl 1119.60059 Stochastic Anal. Appl. 25, No. 2, 471-492 (2007). Reviewer: Raouf Ghomrasni (Johannesburg) MSC: 60H30 60H05 60H07 60H10 91G20 PDF BibTeX XML Cite \textit{M. Arriojas} et al., Stochastic Anal. Appl. 25, No. 2, 471--492 (2007; Zbl 1119.60059) Full Text: DOI arXiv Link OpenURL
Stoica, George Relevant coherent measures of risk. (English) Zbl 1142.91045 J. Math. Econ. 42, No. 6, 794-806 (2006). MSC: 91B30 91B28 PDF BibTeX XML Cite \textit{G. Stoica}, J. Math. Econ. 42, No. 6, 794--806 (2006; Zbl 1142.91045) Full Text: DOI OpenURL
Dahl, Mikkel; Møller, Thomas Valuation and hedging of life insurance liabilities with systematic mortality risk. (English) Zbl 1201.91089 Insur. Math. Econ. 39, No. 2, 193-217 (2006). MSC: 91B30 60H30 91G80 PDF BibTeX XML Cite \textit{M. Dahl} and \textit{T. Møller}, Insur. Math. Econ. 39, No. 2, 193--217 (2006; Zbl 1201.91089) Full Text: DOI OpenURL
Gáll, J.; Pap, G.; Van Zuijlen, M. C. A. Forward interest rate curves in discrete time settings driven by random fields. (English) Zbl 1205.91163 Comput. Math. Appl. 51, No. 3-4, 387-396 (2006). MSC: 91G30 60G60 PDF BibTeX XML Cite \textit{J. Gáll} et al., Comput. Math. Appl. 51, No. 3--4, 387--396 (2006; Zbl 1205.91163) Full Text: DOI OpenURL
Haifeng, Yan; Jianqi, Yang; Limin, Liu Pricing Cliquet options in jump-diffusion models. (English) Zbl 1087.60053 Stoch. Models 21, No. 4, 875-884 (2005). Reviewer: Monique Pontier (Toulouse) MSC: 60H30 91G20 60J60 PDF BibTeX XML Cite \textit{Y. Haifeng} et al., Stoch. Models 21, No. 4, 875--884 (2005; Zbl 1087.60053) Full Text: DOI OpenURL
De Donno, M.; Guasoni, P.; Pratelli, M. Super-replication and utility maximization in large financial markets. (English) Zbl 1081.60051 Stochastic Processes Appl. 115, No. 12, 2006-2022 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 91G10 60H05 60G48 PDF BibTeX XML Cite \textit{M. De Donno} et al., Stochastic Processes Appl. 115, No. 12, 2006--2022 (2005; Zbl 1081.60051) Full Text: DOI OpenURL
Cheridito, Patrick Gaussian moving averages, semimartingales and option pricing. (English) Zbl 1075.60025 Stochastic Processes Appl. 109, No. 1, 47-68 (2004). MSC: 60G15 60G30 91G20 PDF BibTeX XML Cite \textit{P. Cheridito}, Stochastic Processes Appl. 109, No. 1, 47--68 (2004; Zbl 1075.60025) Full Text: DOI OpenURL
Branger, Nicole Pricing derivative securities using cross-entropy: an economic analysis. (English) Zbl 1119.91320 Int. J. Theor. Appl. Finance 7, No. 1, 63-81 (2004). MSC: 91B28 PDF BibTeX XML Cite \textit{N. Branger}, Int. J. Theor. Appl. Finance 7, No. 1, 63--81 (2004; Zbl 1119.91320) Full Text: DOI OpenURL
Tang, Siying; Liu, Jichun; Du, Lijin The minimal symmetric entropy martingale measure and the valuation problem in incomplete markets. (Chinese. English summary) Zbl 1097.91511 J. Xiamen Univ., Nat. Sci. 43, No. 4, 465-468 (2004). MSC: 91B26 60G44 PDF BibTeX XML Cite \textit{S. Tang} et al., J. Xiamen Univ., Nat. Sci. 43, No. 4, 465--468 (2004; Zbl 1097.91511) OpenURL
Wong, Bernard; Heyde, C. C. On the martingale property of stochastic exponentials. (English) Zbl 1066.60064 J. Appl. Probab. 41, No. 3, 654-664 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 91B28 PDF BibTeX XML Cite \textit{B. Wong} and \textit{C. C. Heyde}, J. Appl. Probab. 41, No. 3, 654--664 (2004; Zbl 1066.60064) Full Text: DOI Link OpenURL
Jang, Ji-Wook; Krvavych, Yuriy Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. (English) Zbl 1075.62096 Insur. Math. Econ. 35, No. 1, 97-111 (2004). MSC: 62P05 91B30 60G70 PDF BibTeX XML Cite \textit{J.-W. Jang} and \textit{Y. Krvavych}, Insur. Math. Econ. 35, No. 1, 97--111 (2004; Zbl 1075.62096) Full Text: DOI OpenURL
Guo, Wenjing; Hu, Qiying Mean-variance portfolio selection with random parameters: a martingale approach. (English. Chinese summary) Zbl 1081.91017 Appl. Math., Ser. A (Chin. Ed.) 18, No. 3, 295-302 (2003). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Guo} and \textit{Q. Hu}, Appl. Math., Ser. A (Chin. Ed.) 18, No. 3, 295--302 (2003; Zbl 1081.91017) OpenURL
Dassios, Angelos; Jang, Ji-Wook Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. (English) Zbl 1039.91038 Finance Stoch. 7, No. 1, 77-95 (2003). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B30 60G55 91B70 60J75 60G10 60G44 91G20 PDF BibTeX XML Cite \textit{A. Dassios} and \textit{J.-W. Jang}, Finance Stoch. 7, No. 1, 77--95 (2003; Zbl 1039.91038) Full Text: DOI Link OpenURL
Imkeller, Peter Malliavin’s calculus in insider models: additional utility and free lunches. (English) Zbl 1071.91017 Math. Finance 13, No. 1, 153-169 (2003). Reviewer: Xianping Guo (Guangzhou) MSC: 91B26 91B28 60G07 PDF BibTeX XML Cite \textit{P. Imkeller}, Math. Finance 13, No. 1, 153--169 (2003; Zbl 1071.91017) Full Text: DOI Link OpenURL
Delbaen, Freddy; Shirakawa, Hiroshi A note on option pricing for the constant elasticity of variance model. (English) Zbl 1072.91020 Asia-Pac. Financ. Mark. 9, No. 2, 85-99 (2002). Reviewer: Miguel Ángel Mirás Calvo (Vigo) MSC: 91G20 PDF BibTeX XML Cite \textit{F. Delbaen} and \textit{H. Shirakawa}, Asia-Pac. Financ. Mark. 9, No. 2, 85--99 (2002; Zbl 1072.91020) Full Text: DOI OpenURL
Delbaen, Freddy; Shirakawa, Hiroshi No arbitrage condition for positive diffusion price processes. (English) Zbl 1074.91014 Asia-Pac. Financ. Mark. 9, No. 3-4, 159-168 (2002). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 60J60 60J25 60G44 PDF BibTeX XML Cite \textit{F. Delbaen} and \textit{H. Shirakawa}, Asia-Pac. Financ. Mark. 9, No. 3--4, 159--168 (2002; Zbl 1074.91014) Full Text: DOI OpenURL
Stummer, Wolfgang Some divergence properties of asset price models. (English) Zbl 1015.91031 Entropy 3, No. 4, 300-324 (2001). MSC: 91B28 60H10 62P05 PDF BibTeX XML Cite \textit{W. Stummer}, Entropy 3, No. 4, 300--324 (2001; Zbl 1015.91031) Full Text: DOI Link OpenURL
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. Option pricing and hedging under regular Lévy processes of exponential type. (English) Zbl 1008.91043 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 121-130 (2001). MSC: 91G20 91B24 60G99 PDF BibTeX XML Cite \textit{S. I. Boyarchenko} and \textit{S. Z. Levendorskij}, in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 121--130 (2001; Zbl 1008.91043) OpenURL
Bellamy, Nadine Wealth optimization in an incomplete market driven by a jump-diffusion process. (English) Zbl 0987.91032 J. Math. Econ. 35, No. 2, 259-287 (2001). Reviewer: Elias Shiu (Iowa City) MSC: 91G10 PDF BibTeX XML Cite \textit{N. Bellamy}, J. Math. Econ. 35, No. 2, 259--287 (2001; Zbl 0987.91032) Full Text: DOI OpenURL
Klein, Irene A fundamental theorem of asset pricing for large financial markets. (English) Zbl 1034.91042 Math. Finance 10, No. 4, 443-458 (2000). MSC: 91B24 91G99 60G99 PDF BibTeX XML Cite \textit{I. Klein}, Math. Finance 10, No. 4, 443--458 (2000; Zbl 1034.91042) Full Text: DOI OpenURL
Frittelli, Marco Introduction to a theory of value coherent with the no-arbitrage principle. (English) Zbl 0965.60046 Finance Stoch. 4, No. 3, 275-297 (2000). Reviewer: A.V.Swishchuk (Kyïv) MSC: 60G42 60G44 91G80 91B16 PDF BibTeX XML Cite \textit{M. Frittelli}, Finance Stoch. 4, No. 3, 275--297 (2000; Zbl 0965.60046) Full Text: DOI OpenURL
Grandits, P. On martingale measures for stochastic processes with independent increments. (English) Zbl 0959.60033 Theory Probab. Appl. 44, No. 1, 39-50 (1999) and Teor. Veroyatn. Primen. 44, No. 1, 87-100 (1999). Reviewer: B.Grigelionis (Vilnius) MSC: 60G51 60G40 PDF BibTeX XML Cite \textit{P. Grandits}, Theory Probab. Appl. 44, No. 1, 39--50 (1999) and Teor. Veroyatn. Primen. 44, No. 1, 87--100 (1999; Zbl 0959.60033) Full Text: DOI OpenURL
Melenberg, Bertrand; Werker, Bas J. M. A convenient way to characterize equivalent martingale measures in incomplete markets. (English) Zbl 0964.60052 Stat. Inference Stoch. Process. 2, No. 1, 11-30 (1999). Reviewer: Yu.S.Mishura (Kyïv) MSC: 60G44 60G35 91B28 PDF BibTeX XML Cite \textit{B. Melenberg} and \textit{B. J. M. Werker}, Stat. Inference Stoch. Process. 2, No. 1, 11--30 (1999; Zbl 0964.60052) Full Text: DOI OpenURL
Shirakawa, Hiroshi Evaluation of yield spread for credit risk. (English) Zbl 0940.60074 Kusuoka, S. (ed.) et al., Advances in mathematical economics. Vol. 1. Symposium on Mathematical analysis in economic theory, Keio University, Tokyo, Japan, October 4-5, 1997. Tokyo: Springer. 83-97 (1999). Reviewer: M.P.Moklyachuk (Kyïv) MSC: 60H10 91B30 60H30 PDF BibTeX XML Cite \textit{H. Shirakawa}, in: Advances in mathematical economics. Vol. 1. Symposium on Mathematical analysis in economic theory, Keio University, Tokyo, Japan, October 4--5, 1997. Tokyo: Springer. 83--97 (1999; Zbl 0940.60074) OpenURL
Schweizer, Martin A minimality property of the minimal martingale measure. (English) Zbl 0984.60049 Stat. Probab. Lett. 42, No. 1, 27-31 (1999). MSC: 60G48 91B28 PDF BibTeX XML Cite \textit{M. Schweizer}, Stat. Probab. Lett. 42, No. 1, 27--31 (1999; Zbl 0984.60049) Full Text: DOI OpenURL
Dritschel, Michael; Protter, Philip Complete markets with discontinuous security price. (English) Zbl 0930.91014 Finance Stoch. 3, No. 2, 203-214 (1999). Reviewer: A.V.Swishchuk (Kyïv) MSC: 91B28 60H07 60H10 60G44 PDF BibTeX XML Cite \textit{M. Dritschel} and \textit{P. Protter}, Finance Stoch. 3, No. 2, 203--214 (1999; Zbl 0930.91014) Full Text: DOI OpenURL
Jarrow, Robert; Madan, Dilip B. Hedging contingent claims on semimartingales. (English) Zbl 0926.60035 Finance Stoch. 3, No. 1, 111-134 (1999). Reviewer: A.D.Borisenko (Kyïv) MSC: 60G44 91B28 91B24 PDF BibTeX XML Cite \textit{R. Jarrow} and \textit{D. B. Madan}, Finance Stoch. 3, No. 1, 111--134 (1999; Zbl 0926.60035) Full Text: DOI OpenURL
Jensen, B. A.; Nielsen, J. Aa. The structure of binomial lattice models for bonds. (English) Zbl 1075.62643 Obozr. Prikl. Prom. Mat. 5, No. 2, 361-386 (1998). MSC: 91B28 62P05 PDF BibTeX XML Cite \textit{B. A. Jensen} and \textit{J. Aa. Nielsen}, Obozr. Prikl. Prom. Mat. 5, No. 2, 361--386 (1998; Zbl 1075.62643) OpenURL
Kallsen, Jan Semimartingale modelling in finance. (English) Zbl 0937.91059 Freiburg i. Br.: Univ. Freiburg, Mathematische Fakultät, 217 p. (1998). Reviewer: Youri M.Kabanov (Besançon) MSC: 91B28 PDF BibTeX XML Cite \textit{J. Kallsen}, Semimartingale modelling in finance. Freiburg i. Br.: Univ. Freiburg, Mathematische Fakultät (1998; Zbl 0937.91059) OpenURL
Yan, Jia-An A new look at the fundamental theorem of asset pricing. (English) Zbl 0924.60015 J. Korean Math. Soc. 35, No. 3, 659-673 (1998). Reviewer: A.Schied (Berlin) MSC: 60G44 91G99 91B24 60H05 PDF BibTeX XML Cite \textit{J.-A. Yan}, J. Korean Math. Soc. 35, No. 3, 659--673 (1998; Zbl 0924.60015) OpenURL
Delbaen, Freddy; Schachermayer, Walter A simple counterexample to several problems in the theory of asset pricing. (English) Zbl 0910.60038 Math. Finance 8, No. 1, 1-11 (1998). MSC: 60G44 91B28 PDF BibTeX XML Cite \textit{F. Delbaen} and \textit{W. Schachermayer}, Math. Finance 8, No. 1, 1--11 (1998; Zbl 0910.60038) Full Text: DOI OpenURL