The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure. Denote by S the discounted price process of an asset and suppose that Q? is an equivalent martingale measure whose density is a multiple of 1− φ • ST for some S-integrable process φ. We show that Q? does not necessarily coincide with the variance-optimal martingale me...

For any discrete-time P–local martingale S there exists a probability measure Q ∼ P such that S is a Q–martingale. A new proof for this result is provided. This proof also yields that, for any ε > 0, the measure Q can be chosen so that dQ/dP ≤ 1 + ε.

In this paper we treat, under fairly general conditions, the question of whether asset prices admit a martingale measure when the markets are free of arbitrage opportunities. The arbitrage opportunities we consider are restricted to originate from simple trading strategies, which are most closely related to actual market portfolios. It is shown that if such simple arbitrage profits are excluded...

We discuss the sensitivity of the high-scale supersymmetry (SUSY) at 10–1000 TeV in B, Bs, K and D meson systems together with the neutron electric dipole moment (EDM) and the mercury EDM. In order to estimate the contribution of the squark flavor mixing to these flavor changing neutral currents (FCNCs), we calculate the squark mass spectrum, which is consistent with the recent Higgs discovery....

We introduce a generalised subgradient for law-invariant closed convex risk measures on L and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).

We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process S over [0, T ]. Every option price is defined as the conditional expectation under a given equivalent (true) martingale measure P, the same for all options. We show that every positive contingent claim on S can be ...

in order to use an islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation,that leads to presenting an upside potential- adjusted risk measure. this risk measure named upside potential adjusted risk measure (alpm) is generally applicable and provides assumptions of variance, downsid...

A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equivalent to a physical probability for a pure jump Lévy process, we show that a European call option...