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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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Optimal portfolios with bounded capital at risk
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384
Persistent link: https://www.econbiz.de/10001620446
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A dynamic investment model with control on the portfolio's worst case outcome
Zhao, Yonggan; Haussmann, Ulrich G.; Ziemba, William T. - In: Mathematical finance : an international journal of … 13 (2003) 4, pp. 481-501
Persistent link: https://www.econbiz.de/10001803214
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Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
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True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy Market
Yip, Wing Yan; Stephens, David; Olhede, Sofia - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 617-646
Persistent link: https://www.econbiz.de/10008666962
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Modeling liquidity effects in discrete time
Çetin, Umut; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-29
Persistent link: https://www.econbiz.de/10003543099
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Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008989359