2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023★ 2 cited
Filtration Reduction and Completeness in Jump-Diffusion Models
Karen Grigorian, Robert Jarrow
This paper studies the pricing and hedging of derivatives in frictionless and competitive, but incomplete jump-diffusion markets. A unique equivalent martingale measure (EMM) is ob…
q-fin.MF2023
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
Karen Grigorian, Robert A. Jarrow
In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the…