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Issue Date
Title
Author(s)
2012-12
The small and large time implied volatilities in the minimal market model
Guo, ZJ
;
Platen, E
2011-11
On the semimartingale property of discounted asset-price processes
Kardaras, C
;
Platen, E
2012
Processes of class sigma, last passage times, and drawdowns
Cheridito, P
;
Nikeghbali, A
;
Platen, E
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Platen, E
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Cheridito, P
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Guo, ZJ
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Kardaras, C
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Nikeghbali, A
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Arbitrage of the first kind
1
benchmark approach
1
Buy-and-hold strategies
1
Drawdowns
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Last passage times
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Maximum drawdowns
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No-short-sales constraints
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Numéraire portfolio
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Processes of class Sigma
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