40 citations · 40 across the 3 of their papers we have counts for
6 papers
Arbitrage Problems with Reflected Geometric Brownian Motion
Dean Buckner, Kevin Dowd, Hardy Hulley
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free.…
Short Selling with Margin Risk and Recall Risk
Kristoffer Glover, Hardy Hulley
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs…
A remark on H1 martingales
Hardy Hulley, Johannes Ruf
The space of H1 martingales is interesting because of its duality with the space of BMO martingales. It is straightforward to show that every H1 martingale is a uniformly integrabl…
Weak Tail Conditions for Local Martingales
Hardy Hulley, Johannes Ruf
The following conditions are necessary and sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (i) The weak tail of the supremum of its mod…
Optimal Prediction of the Last-Passage Time of a Transient Diffusion
Kristoffer Glover, Hardy Hulley
We identify the integrable stopping time with minimal -distance to the last-passage time to a given level , for an arbitrary non-negative time-homogeneous tra…
Three-dimensional Brownian motion and the golden ratio rule
Kristoffer Glover, Hardy Hulley, Goran Peskir
Let be a transient diffusion process in with the diffusion coefficient and the scale function such that as $t\righta…