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Randomised mixture models for pricing kernels. (English) Zbl 07516349

Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 271-305 (2022).
MSC:  91G30 35K08 91G20
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Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale. (English) Zbl 1483.60064

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 219-231 (2021).
MSC:  60G44
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