193 citations · 630 across the 38 of their papers we have counts for
8 papers · 1 filter
Real-world models for multiple term structures: a unifying HJM semimartingale framework
Claudio Fontana, Eckhard Platen, Stefan Tappe
We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach un…
Exploiting arbitrage requires short selling
Eckhard Platen, Stefan Tappe
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theor…
Existence of equivalent local martingale deflators in semimartingale market models
Eckhard Platen, Stefan Tappe
This paper offers a systematic investigation on the existence of equivalent local martingale deflators, which are multiplicative special semimartingales, in financial markets given…
No arbitrage and multiplicative special semimartingales
Eckhard Platen, Stefan Tappe
Consider a financial market with nonnegative semimartingales which does not need to have a numéraire. We are interested in the absence of arbitrage in the sense that no self-financ…
Option pricing in bilateral Gamma stock models
Uwe Küchler, Stefan Tappe
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option pric…
Exponential stock models driven by tempered stable processes
Uwe Küchler, Stefan Tappe
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous Lévy processes. With a view of option pricing, w…