Girsanov theorem

Results: 17



#Item
1Mathematical finance / Finance / Economy / Money / Stochastic discount factor / BlackScholes model / Stochastic volatility / Volatility / Girsanov theorem / HullWhite model

ECONOMETRIC SPECIFICATIONS OF STOCHASTIC DISCOUNT FACTOR MODELS C. GOURIEROUX (1)

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Source URL: www.istfin.eco.usi.ch

Language: English - Date: 2009-01-27 08:16:48
2Mathematical finance / Stochastic processes / Stochastic calculus / Financial economics / Markov chain / Girsanov theorem / Stochastic discount factor / Economic model / Price elasticity of demand

Risk Price Dynamics∗ Jaroslav Boroviˇcka Lars Peter Hansen† Mark Hendricks

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Source URL: borovicka.org

Language: English - Date: 2015-05-14 19:50:54
3Mathematical analysis / Multiplier / Girsanov theorem / Risk-neutral measure / Progressively measurable process / Wiener process / Brownian motion / Statistics / Stochastic processes / Probability theory

Robust Control and Model Uncertainty Lars Peter Hansen Thomas J. Sargent January 22, 2001

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Source URL: www.tomsargent.com

Language: English - Date: 2015-04-08 13:04:07
4Martingale theory / Mathematical finance / Integral calculus / Girsanov theorem / Stochastic calculus / Black–Scholes / Martingale representation theorem / Martingale / J. Michael Steele / Statistics / Stochastic processes / Probability theory

Statistics 955 Stochastic Calculus and Financial Applications Professor J. Michael Steele Prerequisites: This course is designed for students who want to develop professional skill in stochastic calculus and its applicat

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Source URL: www-stat.wharton.upenn.edu

Language: English - Date: 2011-09-10 17:01:52
5Martingale theory / Itō calculus / Semimartingale / Quadratic variation / Martingale representation theorem / Girsanov theorem / Martingale / Local martingale / Brownian motion / Statistics / Stochastic processes / Probability theory

Basic Facts about Brownian Motion, Stochastic Integration and Stochastic Differential Equations M.Yor(1),(2) July 5, [removed])

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Source URL: www.math.upatras.gr

Language: English - Date: 2005-07-09 12:18:50
6Financial economics / Probability theory / Options / Girsanov theorem / Black–Scholes / Stochastic volatility / Martingale / Yonsei University / Local volatility / Statistics / Stochastic processes / Mathematical finance

A Delay Financial Model with Stochastic Volatility; Martingale Method Jeong-Hoon Kim1 and Min-Ku Lee2 1,2 Department of Mathematics, Yonsei University, Seoul[removed], Korea

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-20 11:46:30
7Mathematical finance / Mathematics / Martingale theory / Girsanov theorem / Risk-neutral measure / Martingale / Radon–Nikodym theorem / Statistics / Mathematical analysis / Stochastic processes

Esscher Transforms and Consumption-Based Models Alex Badescu∗ Department of Mathematics and Statistics University of Calgary Calgary, Alberta,

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-25 08:51:55
8Stochastic processes / Itō calculus / Quadratic variation / Wiener process / Semimartingale / Martingale / Local martingale / Girsanov theorem / Hardy space / Statistics / Probability theory / Martingale theory

Lecture Notes on Stochastic Calculus (Part II) Fabrizio Gelsomino, Olivier L´evˆeque, EPFL July 21, 2009 Contents 1 Stochastic integrals

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Source URL: lthiwww.epfl.ch

Language: English - Date: 2012-01-19 04:53:44
9Filtering problem / Brownian motion / Black–Scholes / Wiener process / Heston model / Girsanov theorem / Malliavin calculus / Martingale / Kalman filter / Statistics / Stochastic processes / Stochastic differential equation

Non linear filtering and optimal investment under partial information for stochastic volatility models Dalia Ibrahim; Frédéric Abergel∗; July 6, 2014 hal[removed], version[removed]Jul 2014

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Source URL: hal.archives-ouvertes.fr

Language: English - Date: 2014-07-07 02:50:00
10Martingale theory / Options / Statistical inference / Quadratic variation / Wiener process / Stochastic volatility / Girsanov theorem / Semimartingale / Estimator / Statistics / Stochastic processes / Mathematical finance

Statistical Methods for Stochastic Differential Equations Mathieu Kessler & Alexander Lindner

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Source URL: www.tu-braunschweig.de

Language: English - Date: 2012-03-13 06:08:45
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