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Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. - In: Annals of finance 4 (2008) 3, pp. 305-344
Persistent link: https://www.econbiz.de/10003714672
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On the semimartingale property via bounded logarithmic utility
Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268
Persistent link: https://www.econbiz.de/10003645478
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A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
Li, Xun; Wu, Zhenyu - In: Annals of finance 2 (2006) 2, pp. 179-205
Persistent link: https://www.econbiz.de/10003282234
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Partial equilibria with convex capital requirements : existence, uniqueness and stability
Anthropelos, Michail; Žitkovi´c, Gordan - In: Annals of finance 6 (2010) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10003939570
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Investment timing in presence of downside risk : a certainty equivalent characterization
Alvarez, Luis H. R.; Rakkolainen, Teppo A. - In: Annals of finance 6 (2010) 3, pp. 317-333
Persistent link: https://www.econbiz.de/10003978877
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Portfolio management without probabilities or statistics
Flåm, Sjur D. - In: Annals of finance 6 (2010) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10003978880
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Does knowing the volatility states affect the market risk premium?
Bae, Jinho - In: Annals of finance 7 (2011) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10008840222
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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Duration, factor sensitivites, and interest rate Greeks
Kwon, Oh Kang - In: Annals of finance 3 (2007) 4, pp. 471-486
Persistent link: https://www.econbiz.de/10003529809
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - In: Annals of finance 8 (2012) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10009510584