no code implementations • 25 Nov 2020 • Eckhard Platen, Stefan Tappe
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling.
no code implementations • 29 Jun 2020 • Ralph Rudd, Thomas A. McWalter, Joerg Kienitz, Eckhard Platen
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions.
no code implementations • 12 May 2020 • Eckhard Platen, Stefan Tappe
Consider a financial market with nonnegative semimartingales which does not need to have a num\'{e}raire.
no code implementations • 4 Jun 2019 • Jin Sun, Kevin Fergusson, Eckhard Platen, Pavel V. Shevchenko
We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated static and optimal behaviors of both the investor and insurer.
no code implementations • 10 Aug 2017 • Claudio Fontana, Markus Pelger, Eckhard Platen
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies.