18 citations · 65 across the 31 of their papers we have counts for
3 papers · 1 filter
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 the Dybvig-Ingersoll-Ross Theorem
Constantinos Kardaras, Eckhard Platen
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the…