alexa Asset Price Models With A Change Point
ISSN: 2169-0316

Industrial Engineering & Management
Open Access

OMICS International organises 3000+ Global Conferenceseries Events every year across USA, Europe & Asia with support from 1000 more scientific Societies and Publishes 700+ Open Access Journals which contains over 50000 eminent personalities, reputed scientists as editorial board members.

Open Access Journals gaining more Readers and Citations

700 Journals and 15,000,000 Readers Each Journal is getting 25,000+ Readers

This Readership is 10 times more when compared to other Subscription Journals (Source: Google Analytics)

Share This Page

Additional Info

Loading Please wait..

International Summit on Industrial Engineering
December 08-10, 2014 DoubleTree by Hilton Hotel San Francisco Airport, USA

Qinghua Li, Claudio Fontana, Zorana Grbac and Monique Jeanblanc
Accepted Abstracts: Ind Eng Manage
DOI: 10.4172/2169-0316.S1.006
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in all the filtrations which naturally arise in this setting, establishing martingale representation results and characterizing the validity of the NA1 and NFLVR no-arbitrage conditions.
Qinghua Li received her PhD degree from Columbia University in 2011 and BS degree from the Business School, University of Science and Technology of China, in 2005. From 2011 to 2013, she conducted collaborative research in Institut Europlace de Finance Paris and in the Quantitative Finance Laboratory at Humboldt University Berlin, on topics including stock price dynamics with a change point, algorithmic trading, and market microstructure and risk management.
image PDF   |   image HTML

Relevant Topics

Peer Reviewed Journals
Make the best use of Scientific Research and information from our 700 + peer reviewed, Open Access Journals
International Conferences 2017-18
Meet Inspiring Speakers and Experts at our 3000+ Global Annual Meetings

Contact Us

© 2008-2017 OMICS International - Open Access Publisher. Best viewed in Mozilla Firefox | Google Chrome | Above IE 7.0 version