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Semimartingale
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#	Item
1	Processes of Class Sigma, Last Passage Times and Drawdowns Patrick Cheridito∗ Princeton University Princeton, NJ, USA Ashkan Nikeghbali Add to Reading List Source URL: www.princeton.edu Language: English - Date: 2012-04-27 16:45:47 Stochastic processes Probability theory Mathematical analysis Martingale theory Probability Martingale Sigma-algebra Stopping time Local martingale Semimartingale Quadratic variation It calculus
2	Hedging and Portfolio Optimization in Financial Markets with a Large Trader By Peter Bank† and Dietmar Baum‡ Abstract Add to Reading List Source URL: page.math.tu-berlin.de Language: English Mathematical finance Economy Finance Money Stochastic processes Financial markets Options Martingale theory Semimartingale Arbitrage Forward contract BlackScholes model
3	Bond markets beyond short rate paradigm When roll-overs do not qualify as num´eraire: bond markets beyond short rate paradigms Irene Klein, Thorsten Schmidt, Josef Teichmann ETH Z¨ Add to Reading List Source URL: www.ccfz.ch Language: English - Date: 2013-11-25 09:44:49 Martingale theory Stochastic processes Mathematical finance Finance Money Economy No free lunch with vanishing risk Risk-neutral measure Local martingale Yield curve Futures contract Semimartingale
4	Ann Inst Stat Math:707–743 DOIs10463x Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps Add to Reading List Source URL: www.ism.ac.jp Language: English - Date: 2015-07-22 02:23:13
5	Stochastic Differential Equations Lecture notes for courses given at Humboldt University Berlin and University of Heidelberg Markus Reiß Add to Reading List Source URL: math.uni-heidelberg.de Language: English - Date: 2007-02-12 06:05:10 Statistical randomness Stochastic processes Stochastic calculus Martingale theory Stochastic differential equations Lvy processes Wiener process FeynmanKac formula Infinitesimal generator Semimartingale Brownian motion Stratonovich integral
6	Risk Aversion Asymptotics for Power Utility Maximization Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland This Version: March 16, 2010. Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:27:12 Stochastic processes Equations Mathematical finance Semimartingale Doléans-Dade exponential Exponential utility Martingale No free lunch with vanishing risk Isoelastic utility Statistics Utility Martingale theory
7	Measurability of Semimartingale Characteristics with Respect to the Probability Law Ariel Neufeld∗ Marcel Nutz† Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2014-07-07 07:45:46 Measure theory Probability theory Martingale theory Semimartingale Adapted process Absolute continuity Conditional expectation Probability space Measurable function Mathematical analysis Statistics Stochastic processes
8	Robust Fundamental Theorem for Continuous Processes Sara Biagini∗ Bruno Bouchard† Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2014-10-18 10:56:26 Stochastic processes Probability theory Ordinal number Martingale Local martingale Semimartingale Risk-neutral measure Fundamental theorem of asset pricing Sobolev space Statistics Martingale theory Mathematical finance
9	The Bellman Equation for Power Utility Maximization with Semimartingales Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland First Version: December 9, 2009. This Version: Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:24:16 Mathematical optimization Equations Operations research Semimartingale Bellman equation Martingale Dynamic programming Stochastic calculus Optimal control Statistics Martingale theory Stochastic processes
10	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