All Questions

I have a question about the compactness of a set of martingale measures. Let $\Omega=\mathcal{C}[0,1]$ be the space of continuous functions on $[0,1]$ and $\mathcal{M}_{\Omega}$ be the family of ...

By reading Asymptotics for volatility derivatives in multi-factor rough volatility models by Lacombe, Muguruza and Stone, I am not familiar with the way they deduce the speed (or rate) when showing ...

Aim: to show that changing a probability measure via the application of a Radon-Nikodym derivative preserves variance of a log-normally distributed random variable (for the case when variance is non-...

In insurance mathematics, one often models the underlying of an insurance policy with a Black Scholes model on a filtered probability space $(\Omega,\mathbb{Q},\mathcal{F},\mathbb{F}=(\mathcal{F}_{t}))...

When opening a book or reading an article on mathematical finance, financial markets (e.g. stock prices) are always modeled by càdlàg semimartingales. I was wondering why it is that these processes ...