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Local martingale
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#	Item
11	Nonlinear Lévy Processes and their Characteristics Ariel Neufeld∗ Marcel Nutz† January 11, 2015 Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2015-01-11 14:10:20 Semimartingale Connection Adapted process Martingale Local martingale Symbol Hitting time Statistics Stochastic processes Martingale theory
12	Superhedging and Dynamic Risk Measures under Volatility Uncertainty Marcel Nutz ∗ Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2012-06-19 13:31:57 Mathematical finance Financial risk Martingale Local martingale Itō calculus Wiener process Random variable Superhedging price Stopping time Statistics Stochastic processes Martingale theory
13	Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions∗ Bruno Bouchard† Marcel Nutz‡ Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2015-02-12 17:31:06 Mathematics Constructible universe Envelope Partial differential equation Local martingale Stochastic differential equation Itō diffusion Heat equation Statistics Differential equations Mathematical analysis
14	Institute for Economic Studies, Keio University Keio-IES Discussion Paper Series Local risk-minimization for Barndorff-Nielsen and Shephard models Takuji Arai Ryoichi Suzuki Add to Reading List Source URL: ies.keio.ac.jp Language: English - Date: 2015-04-17 06:41:32 Martingale theory Stochastic processes Stochastic calculus Mathematical finance Integral calculus Malliavin calculus Martingale Doléans-Dade exponential Lévy process Statistics Probability theory Mathematical analysis
15	Stochastic Calculus and Financial Applications Final Take Home Exam (Steele: Fall[removed]Instructions. You may consult any books or articles that you find useful. If you use a result that is not from our text, attach a co Add to Reading List Source URL: www-stat.wharton.upenn.edu Language: English - Date: 2013-12-11 16:06:34 Martingale Brownian motion Quadratic variation Feynman–Kac formula Stopping time Risk-neutral measure Local martingale Wiener process Itō diffusion Statistics Stochastic processes Black–Scholes
16	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
17	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
18	Robust Pricing and Hedging of Options on Variance Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-26 11:24:02 Mathematical finance Brownian motion Colloidal chemistry Variance swap Martingale Local martingale Stopping time Economic model Statistics Stochastic processes Martingale theory
19	Processes of Class (Σ), Last Passage Times and Drawdowns Patrick Cheridito ORFE, Princeton University Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-26 13:13:12 Martingale Local martingale Doob–Meyer decomposition theorem Statistics Martingale theory Probability theory
20	Overprized options on variance swaps in local vol models Mathias Beiglb¨ock, joint with Peter Friz and Stephan Sturm Universit¨ at Wien June 2010 Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-17 12:19:04 Volatility Law Martingale Statistics Stochastic processes Local volatility

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