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The second-order Esscher martingale densities for continuous-time market models
Ella Elazkany / Michèle Vanmaele / Tahir Choulli
martingales / stochastic calculusResource overview

The second-order Esscher martingale densities for continuous-time market models

Paper2024

by Ella Elazkany, Michèle Vanmaele, Tahir Choulli

Tags
martingalesstochastic calculusstochastic differential equations

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

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  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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