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math.PR2006★ 10 cited
Modeling financial assets without semimartingales
Rosanna Coviello, Francesco Russo
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous p…
math.PR2006★ 25 cited
Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes
Rosanna Coviello, Francesco Russo
In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an -semimartingale and a fin…