13 citations · 45 across the 19 of their papers we have counts for
11 papers · 1 filter
Second-Order Esscher Pricing for Lévy Models with Applications: Risk Management and Fear Quantification
Tahir Choulli, Ella Elazkany, Mich`ele Vanmaele
This paper proposes the second-order Esscher transform as a tractable extension of the classical Esscher framework for option pricing and risk management in Lévy-driven markets. Fo…
The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli, Ella Elazkany, Michèle Vanmaele
In this paper, we introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price or its logarithm is the main driving noise/sho…
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Tahir Choulli, Emmanuel Lepinette
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents ove…
Representation for martingales living after a random time with applications
Tahir Choulli, Ferdoos Alharbi
Our financial setting consists of a market model with two flows of information. The smallest flow F is the "public" flow of information which is available to all agents, while the…
Log-optimal portfolio and numéraire portfolio for market models stopped at a random time
Tahir Choulli, Sina Yansori
This paper focuses on numéraire portfolio and log-optimal portfolio (portfolio with finite expected utility that maximizes the expected logarithm utility from terminal wealth), whe…
Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
Tahir Choulli, Sina Yansori
This paper addresses the log-optimal portfolio for a general semimartingale model. The most advanced literature on the topic elaborates existence and characterization of this portf…