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Indifference valuation in incomplete binomial models

M. Musiela, E. Sokolova, T. Zariphopoulou (2010)

MathematicS In Action

The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and the minimal entropy measures. We study in detail the interplay among the different kinds of...

Isotropic random walks on affine buildings

James Parkinson (2007)

Annales de l’institut Fourier

In this paper we apply techniques of spherical harmonic analysis to prove a local limit theorem, a rate of escape theorem, and a central limit theorem for isotropic random walks on arbitrary thick regular affine buildings of irreducible type. This generalises results of Cartwright and Woess where A ˜ n buildings are studied, Lindlbauer and Voit where A ˜ 2 buildings are studied, and Sawyer where homogeneous trees are studied (these are A ˜ 1 buildings).

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