5 citations · 5 across the 4 of their papers we have counts for
4 papers
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
T. Choulli, S. Alsheyab
This paper considers the setting governed by , where is the "public" flow of information, and is a random time which might not be -obse…
The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli, Ella Elazkany, Michèle Vanmaele
In this paper, we introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price or its logarithm is the main driving noise/sho…
New Stochastic Fubini Theorems
Tahir Choulli, Martin Schweizer
The classic stochastic Fubini theorem says that if one stochastically integrates with respect to a semimartingale an -mixture of -parametrized integrands , the r…
Non-arbitrage for Informational Discrete Time Market Models
Tahir Choulli, Jun Deng
This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information is partially/fully incorporated into the market.…