Making Markov martingales meet marginals: with explicit constructions

By Dilip B Madan 5, Marc Yor. 2002

125 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6bdb72b1790cff3a47c22b4a46078fce5ca719ad

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Citations in the corpus

A note on sufficient conditions for no arbitrage (2005, result): “Assuming that the initial m prices of a given set of European calls are free of static arbitrage,Madan and Yor (2002)go beyond the CGMY existence result by providing several concrete constructions of M martingales which are consistent with these prices.”
Superposition and mimicking theorems for conditional McKean–Vlasov equations (2020, background): “Related results have appeared in [44, 59], where Markov (sub)martingales with given fixed-time distributions have been constructed.”
The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012, background): “This is called the increasing mean residual value property by Madan and Yor [36] who establish, in particular, a strong Markov property of the resulting time-changed process.”
Stochastic Volatility for Lévy Processes (2003, unknown): “It has been observed in Konikov and Madan (2002) that these homogeneous Lévy processes impose strict conditions on the term structure of the risk-neutral variance, skewness, and kurtosis.”
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks (2015, background): “It follows that under condition (3.11), this optimal martingale transference plan converges to the left-continuous right-limit martingale M = ( M t ) t ∈ [0 , 1] , given by In [25], the authors prove that M is in fact a Markov process and provide its generator in explicit form.”
The Skorokhod embedding problem and its offspring (2004, methodology): “We mention two explicit embedding of processes in Brownian motion by Khoshnevisan [62] and Madan and Yor [71].”
An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2016, unknown): “In particular, it provides a new construction of the martingale peacock process (PCOC “Processus Croissant pour l’Ordre Convexe,” see Hirsch, Profeta, Roynette and Yor [24]), and a new remarkable example of discontinuous fake Brownian motions.”
Diffusion-type models with given marginal distribution and autocorrelation function (2005, methodology): “Constructions different from ours of Markovian martingales with prescribed marginal distributions have recently been considered by Madan & Yor (2002).”
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2011, background): “We have the following result: Proposition 3.6 Amongst all minimal solutions of the SEP for (W, µ) the Azéma- Yor stopping rule maximises P(J τ ≥ j) simultaneously for all j.”
From local volatility to local Lévy models (2004, background): “This question has also been studied from other perspectives in Madan and Yor (2002).”
Model-independent bounds for option prices—a mass transport approach (2011, unknown): “Extensions to the multi-marginal case are addressed in [7, 19, 27, 31].”
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints☆ (2015, unknown): “It displays similar smiley patterns for the short horizons that is known for implied volatility surfaces, and it becomes generally flatter for longer 11See Madan and Yor (2002) for an exposition of this theme.”