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From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1

Citations

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Cited by:

  1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
  2. Dolinsky, Yan & Zouari, Jonathan, 2021. "The value of insider information for super-replication with quadratic transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 394-416.
  3. Andreas S{o}jmark & Fabrice Wunderlich, 2023. "Functional CLTs for subordinated L\'evy models in physics, finance, and econometrics," Papers 2312.15119, arXiv.org, revised Jan 2024.
  4. Erhan Bayraktar & Yan Dolinsky & Jia Guo, 2018. "Continuity of Utility Maximization under Weak Convergence," Papers 1811.01420, arXiv.org, revised Jun 2020.
  5. Yan Dolinsky & Halil Soner, 2013. "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, vol. 17(3), pages 447-475, July.
  6. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
  7. repec:dau:papers:123456789/5374 is not listed on IDEAS
  8. Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
  9. Dong, Y. & Spielmann, J., 2020. "Weak limits of random coefficient autoregressive processes and their application in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 1-11.
  10. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
  11. Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
  12. Chan, K. S. & Stramer, O., 1998. "Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 33-44, August.
  13. Yuchao Dong & Jérôme Spielmann, 2020. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Post-Print hal-02170829, HAL.
  14. Yuchao Dong & Jérôme Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Working Papers hal-02170829, HAL.
  15. Dolinsky, Yan & Zouari, Jonathan, 2020. "Market delay and G-expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 694-707.
  16. Qiao, Gaoxiu & Yao, Qiang, 2015. "Weak convergence of equity derivatives pricing with default risk," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 46-56.
  17. Colino, Jesús P., 2008. "Weak convergence in credit risk," DES - Working Papers. Statistics and Econometrics. WS ws085518, Universidad Carlos III de Madrid. Departamento de Estadística.
  18. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
  19. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
  20. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
  21. Zhao, Guoqing, 2009. "Lenglart domination inequalities for g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2338-2342, November.
  22. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
  23. Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
  24. Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2018. "Stability results for martingale representations: the general case," Papers 1806.01172, arXiv.org, revised Mar 2019.
  25. Yuchao Dong & J'er^ome Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Papers 1907.01828, arXiv.org, revised Feb 2020.
  26. Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics," Papers 1405.5230, arXiv.org, revised Aug 2016.
  27. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2006. "A Limit Theorem for Financial Markets with Inert Investors," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 789-810, November.
  28. Dolinsky, Yan & Nutz, Marcel & Soner, H. Mete, 2012. "Weak approximation of G-expectations," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 664-675.
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