Martingales and stochastic integrals in the theory of continuous trading

Keywords

Semimartingale, Mathematics, Martingale (probability theory), Mathematical economics, Stochastic integral

References

• Probabilities and potential CC. Dellacherie, P. Meyer — 1978
• Three essays on capital marketsDavid M. Kreps — 1978
• Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing ModelDavid M. Kreps — 1982
• Option pricing: A reviewClifford W. Smith — 1976
• On Square Integrable MartingalesHiroshi Kunita, Shinzo Watanabe — 1967
• The valuation of options for alternative stochastic processesJohn C. Cox, Stephen A. Ross — 1976
• Caractéristiques locales et conditions de continuité absolue pour les semi-martingalesJean Jacod, Jean M�min — 1976
• The Multiplicity of an Increasing Family of Σ-FieldsMichael H. Davis, Pravin Varaiya — 1974
• Lifetime Portfolio Selection under Uncertainty: The Continuous-Time CaseRobert C. Merton — 1969
• Martingales and arbitrage in multiperiod securities marketsJ. Michael Harrison, David M. Kreps — 1979
• Calcul stochastique et problèmes de martingalesJean Jacod — 1979
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingalesJean Jacod — 1975
• Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3Robert C. Merton — 1971
• The Representation of Functionals of Brownian Motion by Stochastic IntegralsJ. M. C. Clark — 1970
• Multiple Wiener IntegralKiyosi Itô — 1951
• Un théorème de représentation pour les martingales discontinuesJean Jacod — 1976
• Portfolio selection with transactions costsMichael Magill, George M. Constantinides — 1976
• The Pricing of Options and Corporate LiabilitiesFischer Black, Myron S. Scholes — 1973
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of MeasuresIgor Vladimirovich Girsanov — 1960
• Arbitrage and equilibrium in economies with infinitely many commoditiesDavid M. Kreps — 1981

Cited by

• Option Pricing in ARCH-type Models: with Detailed ProofsJan Kallsen, Murad S. Taqqu — 1995
• Forward Measures in a Ho and Lee Jump Diffusion ModelDavid B. Colwell, Solene Arcus — 2001
• Contingent Claim Pricing with Applications to Financial Risk ManagementHua Chen — 2008
• Flight-to-Quality phenomenon as a source of financial instabilityMariya Gubareva — 2013
• Semimartingale Modelling in FinanceJan Kallsen, Ernst Kallsen, Acti Labores — 2013
• Discrete time arbitrage under transaction costsJoanna Piasecka — 2000
• Option Pricing Under Dividend Barrier StrategiesZhengjun Jiang — 2015
• Market Risk and Financial Markets ModelingDidier Sornette, Hilary Woodard, Sergey Ivliev — 2012
• No Arbitrage: On the Work of David KrepsWalter Schachermayer — 2002
• Valuation of Exotic Options under Shortselling Constraints as a Singular Stochastic Control ProblemUwe Wystup, Jan Schrader — 2000
• On the term structure of forwards, futures and interest ratesCamilla Landén — 2001
• Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedgingTobias Lipp — 2012
• Optimal default boundary in discrete time modelsAgata Altieri, Tiziano Vargiolu — 2002
• Beyond implied volatilityRama Cont — 1998
• A Note to Correct Modeling Term Structures of Defaultable BondsDae Il Kang — 2010
• Modeling the term structure of interest ratesPavol Povala — 2013
• Résolution de modèles d'évaluation de produits dérivés financiers sur des architectures de grilles informatiquesMuni Toke, Ioane Susitino Patrick — 2006
• Term-Structure Models: a ReviewRiccardo Rebonato — 2003
• Pricing and hedging of the currency multiple option on the maximum of several bondsSilvia Romagnoli, Tiziano Vargiolu — 2000
• Microeconomic theory of financial markets under volatility uncertaintyPatrick Beißner — 2013

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