On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to ̃ P and ̃Q respectively. Then, we estimate PL 1-distance of option prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Lévy models with special choice of martingale measure as Esscher measure, minimal entropy measure and Pfq-minimal martingale measure. We illustrate our results by considering GMY and CGMY models

Self-similar processes and their applications

This volume contains some articles related to the conferenceSelf-similar processes and their applications which took place in Angers, from the 20th to the 24th of July 2009. Self-similarity is the property which certain stochastic processes have of preserving their distribution under a time-scale change. This property appears in all areas of probability theory and offers a number of fields of application. The aim of this conference is to bring together the main representatives of different aspects of self-similarity currently being studied in order to promote exchanges on their recent research and enable them to share their knowledge with young researchers. Self-similar Markov processes. Matrix valued self-similar processes. Self-similarity, trees, branching and fragmentation. Fractional and multifractional processes Stochastic Löwner evolution Selfsimilarity in financ