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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Brigo, Damiano"
~person:"Guéant, Olivier"
~person:"Li, Lingfei"
~subject:"Insolvenz"
~subject:"Stochastischer Prozess"
~subject:"bilateral CVA"
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Insolvenz
Stochastischer Prozess
bilateral CVA
Derivat
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arbitrage-free credit valuation adjustment
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Brigo, Damiano
Guéant, Olivier
Li, Lingfei
Capponi, Agostino
2
Crépey, Stéphane
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Alfonsi, Aurélien
1
Bo, Lijun
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Cont, Rama
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Figueroa-López, José E.
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Li, Chenxu
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Lorig, Matthew
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Minca, Andreea
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Muhle-Karbe, Johannes
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Pallavicini, Andrea
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Operations research letters
1
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ECONIS (ZBW)
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
2
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
3
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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