# Questions tagged [continuous-time]

The tag has no usage guidance.

15 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
144 views

### Non attainable claim - Incomplete market

I am wondering whether there is a standard procedure to find a non attainable (i.e. non replicable) asset in an incomplete market. As an example, let us have the following market ($B = (B^1, B^2, B^3)$...
396 views

From Lando (2004)* I am trying to replicate the following figure (Section 2.6 Default Barriers: The Black-Cox Setup): The spreads are computed as follows: $$s(T) = \frac{1}{T}\ln\frac{D}{B_0}-r$$ ...
• 116
92 views

### What topics come after continuous finance a la Bjork?

Ok so I've understood stochastic calculus and continuous finance. Basically, all of Bjork's "Arbitrage Theory in Continuous Time". What books/topics come next? I was thinking of taking a more ...
• 21
1k views

### How to construct a continuous price time series out of futures raw data in Excel?

My object of research is corn futures: It is well known that corn futures expire 5 times per year: March, May, July, September and December. Due to their finite life that is limited by their maturity,...
• 21
1 vote
54 views

### The continuous-time limit of asset price processes where there is more than one asset

I've read Merton's article "On the Mathematics and Economics Assumptions of Continuous-Time Models" (Reprinted in Continuous-time Finance, Chapter 3), where Merton proved that the price of ...
1 vote
84 views

### How to construct continuous futures contracts with multiple maturities

I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with ...
1 vote
38 views

1 vote
90 views

### Is the 'constant weight in the risky asset' portfolio-strategy self-financing?

My question concerns a topic in quantitative finance that I feel is often brushed under the table: is a given strategy self-financing. We have two assets, one risky and one riskless, defined by the ...