Minimal Variance Martingale Measures for Geometric Lévy Processes

M. Jeanblanc, S. Kloeppel and Y. Miyahara
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M. Jeanblanc: Université d'Evry, France
S. Kloeppel: ETH, Zurich, Switzerland
Y. Miyahara: Nagoya City University, Japan

Chapter 11 in Stochastic Processes and Applications to Mathematical Finance, 2007, pp 193-196 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis is a short report on a talk given at the “short communications” session. An article which contains the full proofs and several extensions of the results in this report is now in the preparation, and it will appear in the near future.

Keywords: Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models (search for similar items in EconPapers)
Date: 2007
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