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math.PR2015
Polynomial diffusions on compact quadric sets
Martin Larsson, Sergio Pulido
Polynomial processes are defined by the property that conditional expectations of polynomial functions of the process are again polynomials of the same or lower degree. Many fundam…
math.PR2015
Semi-static completeness and robust pricing by informed investors
Beatrice Acciaio, Martin Larsson
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust fram…