The Mathematics of Arbitrage

(Tina Meador) #1

370 References


[M 69] R.C. Merton, (1969),Lifetime portfolio selection under uncertainty: the
continuous-time model. Rev. Econom. Statist., vol. 51, pp. 247–257.
[M 71] R.C. Merton, (1971),Optimum consumption and portfolio rules in a
continuous-time model. Journal of Economic Theory, vol. 3, pp. 373–413.
[M 73] R.C. Merton, (1973),The theory of rational option pricing.BellJ.Econ.
Manag. Sci., vol. 4, pp. 141–183.
[M 73b] R.C. Merton, (1973),An intertemporal capital asset pricing model.Econo-
metrica, vol. 41, pp. 867–888.
[M 76a] R.C. Merton, (1976),Option pricing when underlying stock returns are
discontinuous. Journal of Financial Economics, vol. 3, pp. 125–144.
[M 80a] R.C. Merton, (1980),On estimating the expected return on the market:
an exploratory investigation. Journal of Financial Economics, vol. 8, pp.
323–361.
[M 90] R.C. Merton, (1990),Continuous-Time Finance. Basil Blackwell, Oxford.
[M 76] P.A. Meyer, (1976), Un cours sur les int ́egrales stochastiques.In:
P.A. Meyer (ed.), S ́eminaire de Probabilit ́es X, Springer Lecture Notes
in Mathematics 511, pp. 245–400.
[M 62] P.A. Meyer, (1962),A decomposition theorem for supermartingales. Illinois
J. Math., vol. 6, pp. 193–205.
[M 63] P.A. Meyer, (1963),Decomposition of supermartingales: the uniqueness
theorem. Illinois J. Math., vol. 7, pp. 1–17.
[M 94] P. Monat, (1994), Remarques sur les in ́egalit ́es de Burkholder-Davis-
Gundy.S ́eminaire de Probabilit ́es XXVIII, Springer Lecture Notes in
Mathematics 1583, pp. 92–97.
[MR 97] M. Musiela, M. Rutkowski, (1997),Martingale Methods in Financial Mod-
elling. Springer-Verlag, Berlin.
[N 75] J. Neveu, (1975), Discrete Parameter Martingales. North-Holland,
Amsterdam.
[PT 99] H. Pham, N. Touzi, (1999),The fundamental theorem of asset pricing
with cone constraints. Journal of Mathematical Economics, vol. 31, pp.
265–279.
[PY 82] J. Pitman, M. Yor, (1982),A decomposition of Bessel Bridges.Zeitschrift
f. Wahrscheinlichkeit u. Verw. Gebiete, vol. 59, no. 4, pp. 425–457.
[P 86] S.R. Pliska, (1986),A stochastic calculus model of continuous trading:
optimal portfolios. Math. Oper. Res., vol. 11, pp. 371–382.
[P 97] S.R. Pliska, (1997),Introduction to Mathematical Finance. Blackwell Pub-
lishers.
[P 90] P. Protter, (1990),Stochastic Integration and Differential Equations. A
new approach. Applications of Mathematics, vol. 21, Springer-Verlag,
Berlin, Heidelberg, New York (second edition: 2003, corrected third print-
ing: 2005).
[R 98] R. Rebonato, (1998),Interest-rate Option models. 2nd ed., Wiley, Chich-
ester.
[RY 91] D. Revuz, M. Yor, (1991),Continuous Martingales and Brownian Mo-
tion. Grundlehren der Mathematischen Wissenschaften, vol. 293, Springer
(third edition: 1999, corrected third printing: 2005).
[R 70] R.T. Rockafellar, (1970),Convex Analysis. Princeton University Press,
Princeton, New Jersey.
[R 93] L.C.G. Rogers, (1993),Notebook, private communication. Dec. 20, 1993.

Free download pdf