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Girsanov theorem
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1	ECONOMETRIC SPECIFICATIONS OF STOCHASTIC DISCOUNT FACTOR MODELS C. GOURIEROUX (1) Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2009-01-27 08:16:48 Mathematical finance Finance Economy Money Stochastic discount factor BlackScholes model Stochastic volatility Volatility Girsanov theorem HullWhite model
2	Risk Price Dynamics∗ Jaroslav Boroviˇcka Lars Peter Hansen† Mark Hendricks Add to Reading List Source URL: borovicka.org Language: English - Date: 2015-05-14 19:50:54 Mathematical finance Stochastic processes Stochastic calculus Financial economics Markov chain Girsanov theorem Stochastic discount factor Economic model Price elasticity of demand
3	Robust Control and Model Uncertainty Lars Peter Hansen Thomas J. Sargent January 22, 2001 Add to Reading List Source URL: www.tomsargent.com Language: English - Date: 2015-04-08 13:04:07 Mathematical analysis Multiplier Girsanov theorem Risk-neutral measure Progressively measurable process Wiener process Brownian motion Statistics Stochastic processes Probability theory
4	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 Add to Reading List Source URL: www-stat.wharton.upenn.edu Language: English - Date: 2011-09-10 17:01:52 Martingale theory Mathematical finance Integral calculus Girsanov theorem Stochastic calculus Black–Scholes Martingale representation theorem Martingale J. Michael Steele Statistics Stochastic processes Probability theory
5	Basic Facts about Brownian Motion, Stochastic Integration and Stochastic Differential Equations M.Yor(1),(2) July 5, [removed]) Add to Reading List Source URL: www.math.upatras.gr Language: English - Date: 2005-07-09 12:18:50 Martingale theory Itō calculus Semimartingale Quadratic variation Martingale representation theorem Girsanov theorem Martingale Local martingale Brownian motion Statistics Stochastic processes Probability theory
6	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 Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 11:46:30 Financial economics Probability theory Options Girsanov theorem Black–Scholes Stochastic volatility Martingale Yonsei University Local volatility Statistics Stochastic processes Mathematical finance
7	Esscher Transforms and Consumption-Based Models Alex Badescu∗ Department of Mathematics and Statistics University of Calgary Calgary, Alberta, Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-25 08:51:55 Mathematical finance Mathematics Martingale theory Girsanov theorem Risk-neutral measure Martingale Radon–Nikodym theorem Statistics Mathematical analysis Stochastic processes
8	Lecture Notes on Stochastic Calculus (Part II) Fabrizio Gelsomino, Olivier L´evˆeque, EPFL July 21, 2009 Contents 1 Stochastic integrals Add to Reading List Source URL: lthiwww.epfl.ch Language: English - Date: 2012-01-19 04:53:44 Stochastic processes Itō calculus Quadratic variation Wiener process Semimartingale Martingale Local martingale Girsanov theorem Hardy space Statistics Probability theory Martingale theory
9	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 Add to Reading List Source URL: hal.archives-ouvertes.fr Language: English - Date: 2014-07-07 02:50:00 Filtering problem Brownian motion Black–Scholes Wiener process Heston model Girsanov theorem Malliavin calculus Martingale Kalman filter Statistics Stochastic processes Stochastic differential equation
10	Statistical Methods for Stochastic Differential Equations Mathieu Kessler & Alexander Lindner Add to Reading List Source URL: www.tu-braunschweig.de Language: English - Date: 2012-03-13 06:08:45 Martingale theory Options Statistical inference Quadratic variation Wiener process Stochastic volatility Girsanov theorem Semimartingale Estimator Statistics Stochastic processes Mathematical finance