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Semimartingale
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11	The Opportunity Process for Optimal Consumption and Investment with Power Utility Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland First Version: November 24, 2009. Thi Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:25:17 Equations Consumer theory Mathematical optimization Martingale Semimartingale Dynamic programming Bellman equation No free lunch with vanishing risk Utility Statistics Martingale theory Stochastic processes
12	Power Utility Maximization in Constrained Exponential Lévy Models Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland This Version: September 1, 2010. Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:25:13 Mathematical optimization Martingale theory Game theory Martingale Lévy process Semimartingale Bellman equation Expected utility hypothesis Preference Statistics Utility Stochastic processes
13	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
14	Forward equations for option prices A forward PIDE for option prices Exemples and Applications Forward equations for option prices in semimartingale models Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-26 09:00:10 Finance Equations Stochastic processes Differential equations Black–Scholes Partial differential equation Stochastic volatility Forward contract Volatility Financial economics Mathematical finance Options
15	Levy processes - from probability theory to finance and quantum groups Add to Reading List Source URL: eprints.whiterose.ac.uk Language: English - Date: 2014-06-05 08:49:08 Lévy process Wiener process Brownian motion Normal distribution Semimartingale Feller process Poisson process Stable distribution Martingale Statistics Stochastic processes Probability theory
16	The Bellman Equation for Power Utility Maximization with Semimartingales Marcel Nutz ETH Zurich Bachelier Congress Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-16 16:08:35 Systems theory Mathematical optimization Martingale theory Stochastic processes Operations research Bellman equation Semimartingale Dynamic programming Martingale Statistics Control theory Equations
17	The model Analysis of Fourier Transform Valuation Formulas and Applications Valuation Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-17 10:26:13 Economics Investment Stochastic processes Options Lookback option Risk-neutral measure Valuation Semimartingale Black–Scholes Financial economics Finance Mathematical finance
18	Weak and strong no-arbitrage conditions for continuous financial markets arXiv:1302.7192v2 [q-fin.PR] 14 May[removed]Claudio Fontana Add to Reading List Source URL: arxiv.org Language: English - Date: 2014-05-14 20:27:03 Stochastic processes Mathematical finance Martingale No free lunch with vanishing risk Semimartingale Local martingale Risk-neutral measure Doléans-Dade exponential Continuous function Statistics Martingale theory Probability theory
19	FRAGILITY OF ARBITRAGE AND BUBBLES IN DIFFUSION MODELS Paolo Guasoni, Dublin City University and Boston University ´ Mikl´os Rasonyi, University of Edinburgh Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-01-21 14:52:23 Probability theory Martingale Semimartingale Risk-neutral measure Local martingale Brownian motion Stopping time Wiener process Quadratic variation Statistics Stochastic processes Martingale theory
20	Proc. Indian Acad. Sci. (Math. Sci.) Vol. 124, No. 3, August 2014, pp. 457–469. c Indian Academy of Sciences On quadratic variation of martingales RAJEEVA L KARANDIKAR and B V RAO Add to Reading List Source URL: www.ias.ac.in Language: English - Date: 2014-08-22 07:31:24 Martingale Semimartingale Stochastic processes Martingale theory Quadratic variation

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