2 papers
q-fin.MF2020
Supermartingale deflators in the absence of a numéraire
Philipp Harms, Chong Liu, Ariel Neufeld
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of…
q-fin.MF2019
Strong convergence rates for Markovian representations of fractional processes
Philipp Harms
Many fractional processes can be represented as an integral over a family of Ornstein-Uhlenbeck processes. This representation naturally lends itself to numerical discretizations,…