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On non-continuous Dirichlet processes
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Discrete Superstrategies
We study the minimal initial capital needed to super-replicate an European contingent claim in the Black-Scholes model in the following `real' context: the hedger of... -
Variance Optimal Hedging in the Black-Scholes Model for a given Number of Tra...
In the Black-Scholes option pricing paradigm it is assumed that the market-mak- er designs a continuous-time hedge. This is not realistic from a practical point of... -
On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly E...
We show that the marginal law of the stochastic integral with respect to a standard Brownian motion of a uniformly elliptic and bounded progressive process doesn't... -
Algebraic polynomials and moments of stochastic integrals
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Moment formulae for general point processes
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Change of variable formulas for non-anticipative functional on path space
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Skorohod and Stratonovich integration in the plane
International audience
