A martingale representation theorem and valuation of defaultable securities

Mathematical Finance ◽

10.1111/mafi.12244 ◽

2020 ◽

Author(s):

Tahir Choulli ◽

Catherine Daveloose ◽

Michèle Vanmaele

Keyword(s):

Representation Theorem ◽

Martingale Representation ◽

Defaultable Securities ◽

Martingale Representation Theorem

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Martingale Representation Theorem and Chaos Expansion

Stochastic Processes and Applications to Mathematical Finance ◽

10.1142/9789812774637_0007 ◽

2006 ◽

Author(s):

Shinzo Watanabe

Keyword(s):

Representation Theorem ◽

Chaos Expansion ◽

Martingale Representation ◽

Martingale Representation Theorem

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Martingale representation theorem for G-Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2018.1489728 ◽

2019 ◽

Vol 37 (1) ◽

pp. 19-35

Author(s):

Yuan Bao Kang

Keyword(s):

Brownian Motion ◽

Representation Theorem ◽

Martingale Representation ◽

Martingale Representation Theorem

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Martingale Representation Theorem for the G-Expectation

SSRN Electronic Journal ◽

10.2139/ssrn.1730196 ◽

2010 ◽

Cited By ~ 4

Author(s):

Halil Mete Soner ◽

Nizar Touzi ◽

Jianfeng Zhang

Keyword(s):

Representation Theorem ◽

Martingale Representation ◽

Martingale Representation Theorem

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The Martingale Representation Theorem

Interest Rate Modeling ◽

10.1201/9781351227421-2 ◽

2019 ◽

pp. 23-50

Author(s):

Lixin Wu

Keyword(s):

Representation Theorem ◽

Martingale Representation ◽

Martingale Representation Theorem

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A Proposition on the Martingale Representation Theorem and on the Approximate Hedging of Financial Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.1655646 ◽

2010 ◽

Author(s):

Andre Farber ◽

Nguyen Van Huu ◽

Quan-Hoang Vuong

Keyword(s):

Representation Theorem ◽

Contingent Claims ◽

Martingale Representation ◽

Martingale Representation Theorem

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The Itô Formula and the Martingale Representation Theorem

Universitext - Stochastic Differential Equations ◽

10.1007/978-3-642-14394-6_4 ◽

2003 ◽

pp. 43-63

Author(s):

Bernt Øksendal

Keyword(s):

Representation Theorem ◽

Itô Formula ◽

Ito Formula ◽

Martingale Representation ◽

Martingale Representation Theorem

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A martingale representation theorem for two independent semimartingales

Stochastics and Stochastics Reports ◽

10.1080/17442509308833821 ◽

1993 ◽

Vol 42 (3-4) ◽

pp. 225-228 ◽

Cited By ~ 3

Author(s):

Xing-xiong Xue

Keyword(s):

Representation Theorem ◽

Martingale Representation ◽

Martingale Representation Theorem

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A new approach to the martingale representation theorem

Stochastics ◽

10.1080/17442500802343417 ◽

2009 ◽

Vol 81 (5) ◽

pp. 467-476 ◽

Cited By ~ 3

Author(s):

P.J. Fitzsimmons ◽

B. Rajeev

Keyword(s):

Representation Theorem ◽

New Approach ◽

Martingale Representation ◽

Martingale Representation Theorem

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A New Martingale Representation Theorem (Discrete Time)

Mathematical Notes ◽

10.1023/b:matn.0000015020.85960.f0 ◽

2004 ◽

Vol 75 (1/2) ◽

pp. 38-50

Author(s):

N. S. Boyarintseva ◽

V. M. Khametov

Keyword(s):

Discrete Time ◽

Representation Theorem ◽

Martingale Representation ◽

Martingale Representation Theorem

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A non-commutative martingale representation theorem for non-Fock quantum Brownian motion

Journal of Functional Analysis ◽

10.1016/0022-1236(85)90034-5 ◽

1985 ◽

Vol 61 (2) ◽

pp. 202-221 ◽

Cited By ~ 49

Author(s):

R.L Hudson ◽

J.M Lindsay

Keyword(s):

Brownian Motion ◽

Representation Theorem ◽

Quantum Brownian Motion ◽

Martingale Representation ◽

Martingale Representation Theorem

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