Concept
Martingale (calcul stochastique)
Publications associées (25)
Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Polynomial Jump-Diffusion Models
Damir Filipovic, Martin Larsson
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
2020Informational Efficiency under Short Sale Constraints
A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...
Siam Publications2015Analytical approach to an integrate-and-fire model with spike-triggered adaptation
The calculation of the steady-state probability density for multidimensional stochastic systems that do not obey detailed balance is a difficult problem. Here we present the analytical derivation of the stationary joint and various marginal probability den ...
2015Filtration Shrinkage, Strict Local Martingales And The Follmer Measure
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...
Inst Mathematical Statistics2014Kantorovich distance in the martingale CLT and quantitative homogenization of parabolic equations with random coefficients
The article begins with a quantitative version of the martingale central limit theorem, in terms of the Kantorovich distance. This result is then used in the study of the homogenization of discrete parabolic equations with random i.i.d. coefficients. For s ...
Springer Heidelberg2014On the rate of convergence in the martingale central limit theorem
Consider a discrete-time martingale, and let V-2 be its normalized quadratic variation. As V-2 approaches 1, and provided that some Lindeberg condition is satisfied, the distribution of the rescaled martingale approaches the Gaussian distribution. For any ...
Int Statistical Inst2013