Pages that link to "Item:Q701681"
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The following pages link to Making Markov martingales meet marginals: With explicit constructions (Q701681):
Displaying 50 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) (← links)
- A necessary characteristic equation of diffusion processes having Gaussian marginals (Q417176) (← links)
- A Dubins type solution to the Skorokhod embedding problem (Q426682) (← links)
- Tightness and duality of martingale transport on the Skorokhod space (Q511137) (← links)
- Lévy random bridges and the modelling of financial information (Q544493) (← links)
- Recovering a time-homogeneous stock price process from perpetual option prices (Q549870) (← links)
- Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets (Q607068) (← links)
- Looking for martingales associated to a self-decomposable law (Q638305) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- Symmetric martingales and symmetric smiles (Q734666) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Quantizations of probability measures and preservation of the convex order (Q900963) (← links)
- Subordination, self-similarity, and option pricing (Q1009413) (← links)
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications (Q1039919) (← links)
- Some results on Skorokhod embedding and robust hedging with local time (Q1626510) (← links)
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (Q1729695) (← links)
- Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions (Q1762864) (← links)
- Diffusion-type models with given marginal distribution and autocorrelation function (Q1781184) (← links)
- The Markov-quantile process attached to a family of marginals (Q2065092) (← links)
- From Bachelier to Dupire via optimal transport (Q2072111) (← links)
- General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes (Q2076351) (← links)
- Shadow martingales -- a stochastic mass transport approach to the peacock problem (Q2082703) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions (Q2182620) (← links)
- Additive logistic processes in option pricing (Q2238772) (← links)
- MRL order, log-concavity and an application to peacocks (Q2258825) (← links)
- Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)
- Random characteristics for Wigner matrices (Q2279092) (← links)
- Mean residual life processes and associated submartingales (Q2297315) (← links)
- Adapted hedging (Q2397784) (← links)
- On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
- Weak decreasing stochastic order (Q2405918) (← links)
- Fake exponential Brownian motion (Q2435766) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- A family of non-Gaussian martingales with Gaussian marginals (Q2478414) (← links)
- A continuous non-Brownian motion martingale with Brownian motion marginal distributions (Q2483440) (← links)
- Mimicking self-similar processes (Q2515501) (← links)
- Forward equations for option prices in semimartingale models (Q2516772) (← links)
- Martingale Inequalities for the Maximum via Pathwise Arguments (Q2798582) (← links)
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem (Q2799994) (← links)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (Q2968277) (← links)
- On Martingales with Given Marginals and the Scaling Property (Q3086811) (← links)
- A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling (Q3086812) (← links)
- Constructing Self-Similar Martingales via Two Skorokhod Embeddings (Q3086813) (← links)
- Joint Modelling of Gas and Electricity Spot Prices (Q3176519) (← links)
- ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS (Q3304200) (← links)
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging (Q3465124) (← links)
