Martingale Methods in Financial Modelling

By Marek Musiela, Marek Rutkowski. 2002

1,255 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/4b23c24a0292926132f0431a3aa82d12b082acd8

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Citations in the corpus

Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations (2005, background): “6, it is clear that for 2 small the above functionals are good approximations of the following general type of look-back claim (see [8], [27] or [40]):”
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002, background): “In fact, one can easily argue that if the claim is written (respectively, bought) at a price higher (respectively, lower) than the Black-Scholes price, then there exist strategies that create arbitrage opportunities ( Musiela & Rutkowski, 1997 ).”
A theory of non-Gaussian option pricing (2002, methodology): “To calculate J1 and J2 we shall proceed along the same lines as in the standard case [24].”
Term Structure Dynamics in Theory and Reality (2003, background): “and Pagès [2000] apply special cases of the recovery of market value model to data on Latin American Brady bonds, and Dullmann and Windfuhr [2000] apply a similar framework to price European government credit spreads under the EMU.”
Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities (2004, methodology): “An essential tool within both the theory and practice of pricing derivative securities is the ability to describe how asset dynamics transform under certain changes of measure (see, for example, Musiela & Rutkowski 1997).”
Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, positive): “First, stochastic volatility models generate return distributions similar to what is empirically observed: the return distribution has a fatter left tail and kurtosis compared to normal distributions, with tail asymmetry controlled by the correlation between the stock and the volatility process (see”