2015•Dynamic modeling and econometrics in economics and financeRequires access

The Martingale Approach

Carl Chiarella, Xue‐Zhong He, Christina Sklibosios Nikitopoulos

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Key concepts: Girsanov theorem, Martingale pricing, Doob's martingale inequality, Martingale (probability theory), Local martingale, Martingale representation theorem, Mathematics, Martingale difference sequence