//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Piterbarg"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
CSA
3
Cox
3
FVA
3
ISDA
3
Piterbarg model
3
Ross and Rubinstein model
3
collateral
3
CAPM
2
Call and put pricing functions
2
Lee's moment formulas
2
Option pricing theory
2
Optionspreistheorie
2
Piterbarg's conjecture
2
Volatility
2
Volatilität
2
implied volatility
2
sharp asymptotic formulas
2
Black-Scholes model
1
Black-Scholes-Modell
1
Collateral
1
Derivat
1
Derivative
1
Dupire
1
Kreditsicherung
1
Limit theorems
1
Local volatility
1
Option pricing
1
Piterbarg
1
Piterbarg inequality
1
Piterbarg theorem for χ-processes
1
Seleznjev pth-mean approximation theorem
1
Swap
1
Theorie
1
Theory
1
χ-process
1
more ...
less ...
Online availability
All
Free
3
Undetermined
3
Type of publication
All
Article
7
Type of publication (narrower categories)
All
Article in journal
3
Aufsatz in Zeitschrift
3
Article
1
Language
All
English
4
Undetermined
3
Author
All
Hunzinger, Chadd B.
3
Labuschagne, Coenraad C. A.
3
Boetticher, Sven T. von
1
GULISASHVILI, ARCHIL
1
Gulisashvili, Archil
1
Hashorva, Enkelejd
1
Labuschagne, Coenraad C.A.
1
Tan, Zhongquan
1
more ...
less ...
Published in...
All
Journal of Risk and Financial Management
2
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
1
Journal of risk and financial management : JRFM
1
Stochastic Processes and their Applications
1
The North American journal of economics and finance : a journal of financial economics studies
1
Source
All
ECONIS (ZBW)
3
RePEc
3
EconStor
1
Showing
1
-
7
of
7
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
Did you mean
:
subject:"peterburg"
(322 results)
1
Pricing a collateralized derivative trade with a funding value adjustment
Hunzinger, Chadd B.
;
Labuschagne, Coenraad C. A.
- In:
Journal of Risk and Financial Management
8
(
2015
)
1
,
pp. 17-42
that this derived model is a discrete analogue of
Piterbarg
's partial differential equation (PDE), which describes the …
Persistent link: https://www.econbiz.de/10011843251
Saved in:
2
Pricing a collateralized derivative trade with a funding value adjustment
Hunzinger, Chadd B.
;
Labuschagne, Coenraad C. A.
- In:
Journal of risk and financial management : JRFM
8
(
2015
)
1
,
pp. 17-42
that this derived model is a discrete analogue of
Piterbarg
’s partial differential equation (PDE), which describes the …
Persistent link: https://www.econbiz.de/10011552865
Saved in:
3
Pricing a Collateralized Derivative Trade with a Funding Value Adjustment
Hunzinger, Chadd B.
;
Labuschagne, Coenraad C.A.
- In:
Journal of Risk and Financial Management
8
(
2015
)
1
,
pp. 17-42
that this derived model is a discrete analogue of
Piterbarg
’s partial differential equation (PDE), which describes the …
Persistent link: https://www.econbiz.de/10011133885
Saved in:
4
Exact asymptotics and limit theorems for supremum of stationary χ-processes over a random interval
Tan, Zhongquan
;
Hashorva, Enkelejd
- In:
Stochastic Processes and their Applications
123
(
2013
)
8
,
pp. 2983-2998
over an increasing random interval, the
Piterbarg
inequality and the Seleznjev pth-mean theorem for stationary χ-processes. …
Persistent link: https://www.econbiz.de/10011064947
Saved in:
5
Dupire's formulas in the
Piterbarg
option pricing model
Labuschagne, Coenraad C. A.
;
Boetticher, Sven T. von
- In:
The North American journal of economics and finance : a …
38
(
2016
),
pp. 148-162
Persistent link: https://www.econbiz.de/10011673354
Saved in:
6
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and
Piterbarg
's conjecture
Gulisashvili, Archil
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Saved in:
7
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND
PITERBARG
'S CONJECTURE
GULISASHVILI, ARCHIL
- In:
International Journal of Theoretical and Applied …
15
(
2012
)
03
,
pp. 1250020-1
modified version of
Piterbarg
's conjecture. The asymptotic formula suggested by
Piterbarg
may be considered as a substitute for …
Persistent link: https://www.econbiz.de/10010551038
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->