9 citations · 26 across the 36 of their papers we have counts for
10 papers · 1 filter
Global Structure and Local Specifications in Sublinear Valuation
Jongjin Park, David Criens, Hyungbin Park
This work studies the relationships among sublinear valuation rules, uncertainty structures, and local specifications in a time-homogeneous Markovian framework with killing. These…
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and…
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with…
No arbitrage and the existence of ACLMMs in general diffusion models
David Criens, Mikhail Urusov
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale meas…
Criteria for the absence of arbitrage in general diffusion markets
David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA ("no arbitrage"), NUPBR ("no unbounded profit with bounded risk") and NFLVR ("no free…
Robust utility maximization with nonlinear continuous semimartingales
David Criens, Lars Niemann
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncer…
No Arbitrage in Continuous Financial Markets
David Criens
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process o…
Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets
David Criens
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous…
Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
David Criens, Kathrin Glau, Zorana Grbac
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of se…