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6 Result(s)

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  1. No Access

    Chapter and Conference Paper

    Linking Progressive and Initial Filtration Expansions

    In this article, we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural link between progressive and ...

    Younes Kchia, Martin Larsson, Philip Protter in Malliavin Calculus and Stochastic Analysis (2013)

  2. No Access

    Article

    Discretely sampled variance and volatility swaps versus their continuous approximations

    Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this pape...

    Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter in Finance and Stochastics (2013)

  3. No Access

    Article

    Will banning naked CDS impact bond prices?

    We develop a tractable partial equilibrium model to analyze the impact on the bond market generated by a ban on naked credit default swaps (CDS). We demonstrate that such a ban will have a negligible impact on...

    Agostino Capponi, Martin Larsson in Annals of Finance (2014)

  4. No Access

    Article

    Polynomial diffusions and applications in finance

    This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credi...

    Damir Filipović, Martin Larsson in Finance and Stochastics (2016)

  5. No Access

    Article

    The space of outcomes of semi-static trading strategies need not be closed

    Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options on that asset. We show that t...

    Beatrice Acciaio, Martin Larsson, Walter Schachermayer in Finance and Stochastics (2017)

  6. Article

    Open Access

    Propagation of chaos for maxima of particle systems with mean-field drift interaction

    We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result establishes propagation of chaos: in the large population limit, ...

    Nikolaos Kolliopoulos, Martin Larsson, Zeyu Zhang in Probability Theory and Related Fields (2023)

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