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Results tagged with mathematical-finance
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user 1004
For questions about mathematical problems arising from the study of financial markets.
3
votes
maximizing function (stochastic calculus)
I'm not sure about finding an exact expression, but you can certainly reduce this to a relatively simple numerical problem. Also, my argument below shows that your conjecture is false.
Let Smin and S …
- 17.1k
12
votes
Accepted
Convergence and non-convergence of left-point and mid-point Riemann sums
The reason that in stochastic calculus the left-hand and right-hand sums give different integrals really all boils down to quadratic variations. Processes such as Brownian motion have non-zero quadrat …
- 17.1k
7
votes
Accepted
Compactness of the set of densities of equivalent martingale measures
The set $Z_{\mathcal{P^\ast}}$ is never compact except in the case where it is a singleton (or empty). This is for the general case with $S=(S^1,S^2,\ldots,S^d)$ being an $\mathbb{R}^d$-valued semimar …
- 17.1k