martingale property
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Single Jump Filtrations: Preservation of the Local Martingale Property with Respect to the Filtration Generated by the Local Martingale

10.1007/978-3-030-76829-4_11 ◽

2021 ◽

pp. 219-231

Author(s):

Alexander A. Gushchin ◽

Assylliya K. Zhunussova

Keyword(s):

Local Martingale ◽

Martingale Property

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Martingale property of the area of a convex hull generated by a Poisson point process

Uzbek Mathematical Journal ◽

10.29229/uzmj.2020-1-7 ◽

2020 ◽

Vol 2020 (1) ◽

pp. 85-88

Author(s):

I.M. Khamdamov ◽

T.Kh. Adirov

Keyword(s):

Convex Hull ◽

Point Process ◽

Poisson Point Process ◽

Martingale Property

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On a “Martingale Property” of Franklin Series

Analysis Mathematica ◽

10.1007/s10476-019-0008-z ◽

2019 ◽

Vol 45 (4) ◽

pp. 803-815

Author(s):

G. G. Gevorkyan

Keyword(s):

Martingale Property ◽

Franklin Series

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On the martingale property in the rough Bergomi model

Electronic Communications in Probability ◽

10.1214/19-ecp239 ◽

2019 ◽

Vol 24 (0) ◽

Author(s):

Paul Gassiat

Keyword(s):

Martingale Property

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Martingale Property of Gains

Principles of Financial Economics ◽

10.1017/cbo9781139162272.028 ◽

2018 ◽

pp. 285-290

Keyword(s):

Martingale Property

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Testing the Martingale Property in Autoregressive Rational Expectations Panel Models

SSRN Electronic Journal ◽

10.2139/ssrn.3293428 ◽

2018 ◽

Author(s):

Muhammad Khan

Keyword(s):

Rational Expectations ◽

Martingale Property ◽

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A simple proof of the martingale property in a semi-log-normal stochastic volatility model

Applicationes Mathematicae ◽

10.4064/am2356-11-2017 ◽

2018 ◽

Vol 45 (1) ◽

pp. 1-4

Author(s):

Jacek Jakubowski ◽

Maciej Wiśniewolski

Keyword(s):

Stochastic Volatility ◽

Simple Proof ◽

Stochastic Volatility Model ◽

Martingale Property ◽

Volatility Model ◽

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Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

Applied Mathematical Finance ◽

10.1080/1350486x.2017.1327324 ◽

2017 ◽

Vol 24 (1) ◽

pp. 23-37

Author(s):

David Criens ◽

Kathrin Glau ◽

Zorana Grbac

Keyword(s):

Asset Price ◽

Martingale Property

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Near-martingale Property of Anticipating Stochastic Integration

Communications on Stochastic Analysis ◽

10.31390/cosa.11.4.06 ◽

2017 ◽

Vol 11 (4) ◽

Author(s):

C R Hwang ◽

Hui-Hsiung Kuo ◽

Kimiaki Saitô ◽

Jiayu Zhai

Keyword(s):

Stochastic Integration ◽

Martingale Property

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Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria

Journal of Finance and Accounting ◽

10.11648/j.jfa.20170504.14 ◽

2017 ◽

Vol 5 (4) ◽

pp. 147 ◽

Author(s):

Ajayi John Ayodele

Keyword(s):

Stock Market ◽

Empirical Test ◽

Martingale Property

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