4 papers
The joint law of the extrema, final value and signature of a stopped random walk
Moritz Duembgen, L. C. G. Rogers
A complete characterization of the possible joint distributions of the maximum and terminal value of uniformly integrable martingale has been known for some time, and the aim of th…
High-frequency asymptotics for path-dependent functionals of Ito semimartingales
Moritz Duembgen, Mark Podolskij
The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit t…
Investing and Stopping
Moritz Duembgen, L. C. G. Rogers
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The ma…
Estimate nothing
M. Duembgen, L. C. G. Rogers
In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffe…