6 citations · 7 across the 4 of their papers we have counts for
4 papers
Processes of class Sigma, last passage times and drawdowns
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen
We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of…
Minimizing the expected market time to reach a certain wealth level
Constantinos Kardaras, Eckhard Platen
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asym…
On honest times in financial modeling
Ashkan Nikeghbali, Eckhard Platen
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusi…
On the semimartingale property of discounted asset-price processes
Constantinos Kardaras, Eckhard Platen
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price proces…