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Search: isPartOf_id:10000497062
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Subject
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Theorie
556
Theory
556
Option pricing theory
255
Optionspreistheorie
255
Portfolio selection
177
Portfolio-Management
177
Stochastic process
115
Stochastischer Prozess
115
Volatility
99
Volatilität
99
CAPM
90
Yield curve
69
Zinsstruktur
69
Hedging
65
Incomplete market
65
Unvollkommener Markt
65
Martingal
50
Martingale
50
Option trading
49
Optionsgeschäft
49
Risiko
47
Risk
47
Derivat
44
Derivative
44
Black-Scholes model
40
Black-Scholes-Modell
40
Transaction costs
39
Transaktionskosten
39
Börsenkurs
30
Share price
30
Arbitrage
29
Credit risk
25
Kreditrisiko
25
Mathematical programming
25
Mathematische Optimierung
25
Risikomaß
25
Risk measure
25
Control theory
23
Kontrolltheorie
23
Measurement
22
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Undetermined
68
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Article
660
Book / Working Paper
3
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Article in journal
661
Aufsatz in Zeitschrift
661
Collection of articles of several authors
4
Sammelwerk
4
Konferenzschrift
2
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1
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1
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1
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Language
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English
663
Author
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Zhou, Xun Yu
13
Jarrow, Robert A.
12
Schachermayer, Walter
12
Rogers, Leonard C. G.
11
Filipović, Damir
10
Platen, Eckhard
10
Delbaen, Freddy
9
Madan, Dilip B.
9
Cont, Rama
8
Guasoni, Paolo
8
Hobson, David G.
8
Linetsky, Vadim
8
Carr, Peter
7
Dai, Min
7
Glasserman, Paul
7
Kallsen, Jan
7
Kardaras, Constantinos
7
Schweizer, Martin
7
Touzi, Nizar
7
Frittelli, Marco
6
Muhle-Karbe, Johannes
6
Yor, Marc
6
Bayraktar, Erhan
5
Bender, Christian
5
Bielecki, Tomasz R.
5
Björk, Tomas
5
Cadenillas, Abel
5
Capponi, Agostino
5
Eberlein, Ernst
5
Elliott, Robert J.
5
Henderson, Vicky
5
Jin, Hanqing
5
Kabanov, Jurij M.
5
Kwok, Yue-Kuen
5
Li, Duan
5
Rutkowski, Marek
5
Bensoussan, Alain
4
Biagini, Francesca
4
El Karoui, Nicole
4
Frey, Rüdiger
4
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Institution
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Workshop on Mathematical Finance and Insurance <2004, Huang Shan>
1
Workshop on Mathematical Finance and Insurance <2006, Lijiang>
1
Published in...
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Mathematical finance : an international journal of mathematics, statistics and financial theory
663
Oberwolfach
11
Source
All
ECONIS (ZBW)
663
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663
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1
Shadow prices for continuous processes
Czichowsky, Christoph
;
Schachermayer, Walter
;
Yang, Junjian
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 623-658
Persistent link: https://www.econbiz.de/10011764961
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2
The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 659-703
Persistent link: https://www.econbiz.de/10011764966
Saved in:
3
Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
Saved in:
4
Pricing for large positions in contingent claims
Robertson, Scott
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 746-778
Persistent link: https://www.econbiz.de/10011764970
Saved in:
5
A state-constrained differential game arising in optimal portfolio liquidation
Schied, Alexander
;
Zhang, Tao
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 779-802
Persistent link: https://www.econbiz.de/10011764972
Saved in:
6
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
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7
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
8
A primal-dual algorithm for BSDES
Bender, Christian
;
Schweizer, Nikolaus
;
Zhuo, Jia
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 866-901
Persistent link: https://www.econbiz.de/10011764983
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9
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
10
Explicit implied volatilities for multifactor local-stochastic volatility models
Lorig, Matthew
;
Pagliarani, Stefano
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 926-960
Persistent link: https://www.econbiz.de/10011764989
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