30 citations · 110 across the 29 of their papers we have counts for
5 papers · 1 filter
Filtration shrinkage, strict local martingales and the Föllmer measure
Martin Larsson
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the project…
Default and Systemic Risk in Equilibrium
Agostino Capponi, Martin Larsson
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market acc…
Linking progressive and initial filtration expansions
Younes Kchia, Martin Larsson, Philip Protter
In this paper we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural lin…
Credit contagion and risk management with multiple non-ordered defaults
Younes Kchia, Martin Larsson
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the d…
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…