Polynomial processes in stochastic portfolio theory
From MaRDI portal
Publication:1999926
DOI10.1016/j.spa.2018.06.007zbMath1426.91243arXiv1705.03647OpenAlexW2963657659WikidataQ129597399 ScholiaQ129597399MaRDI QIDQ1999926
Publication date: 27 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.03647
stochastic portfolio theoryboundary attainmentpolynomial neural networksrelative arbitragepolynomial processesdiffusions on the unit simplextractable modeling
Related Items (12)
Matrix calculations for moments of Markov processes ⋮ Robust asymptotic growth in stochastic portfolio theory under long‐only constraints ⋮ Model‐free portfolio theory: A rough path approach ⋮ Polynomial Jump-Diffusion Models ⋮ Asset prices in segmented and integrated markets ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ Infinite dimensional affine processes ⋮ Markov cubature rules for polynomial processes ⋮ Infinite-dimensional polynomial processes ⋮ Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Correlators of Polynomial Processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate Jacobi process with application to smooth transitions
- Polynomial diffusions and applications in finance
- No arbitrage of the first kind and local martingale numéraires
- A note on the condition of no unbounded profit with bounded risk
- Generalized volatility-stabilized processes
- Hybrid Atlas models
- Analysis of market weights under volatility-stabilized market models
- On strong solutions for positive definite jump diffusions
- Relative arbitrage in volatility-stabilized markets
- Short-term relative arbitrage in volatility-stabilized markets
- Polynomial processes and their applications to mathematical finance
- On the matrix monotonicity of generalized inversion
- On optimal arbitrage
- On the diversity of equity markets
- A general version of the fundamental theorem of asset pricing
- An interest rate model with upper and lower bounds
- Polynomial jump-diffusions on the unit simplex
- Affine processes with compact state space
- Volatility and arbitrage
- Large volatility-stabilized markets
- Diversity and relative arbitrage in equity markets
- The existence of absolutely continuous local martingale measures
- Trading strategies generated by Lyapunov functions
- Polynomial diffusion models for life insurance liabilities
- The numéraire portfolio in semimartingale financial models
- Atlas models of equity markets
- Probabilistic Aspects of Arbitrage
- M6—On Minimal Market Models and Minimal Martingale Measures
- Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
- Stochastic Portfolio Theory: an Overview
- Matrix Analysis
- Changes of numéraire, changes of probability measure and option pricing
- HEDGING UNDER ARBITRAGE
- The exit measure of a supermartingale
- Supermartingales as Radon-Nikodym densities and related measure extensions
This page was built for publication: Polynomial processes in stochastic portfolio theory
