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Utility-based valuation and hedging of basis risk with partial information
Monoyios, Michael - In: Applied mathematical finance 17 (2010) 5/6, pp. 519-551
Persistent link: https://www.econbiz.de/10008797230
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Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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On the relative efficiency of nth order and DARA stochastic dominance rules
Basso, Antonella - In: Applied mathematical finance 4 (1997) 4, pp. 207-222
Persistent link: https://www.econbiz.de/10001238759
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Skewness term-structure tests
Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504
Persistent link: https://www.econbiz.de/10011704272
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On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin - In: Applied mathematical finance 26 (2019) 2, pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Valuation of European options under an uncertain market price of volatility risk
Jaroszkowski, Bartosz; Jensen, Max - In: Applied mathematical finance 29 (2022) 3, pp. 213-226
Persistent link: https://www.econbiz.de/10013554804
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Robust risk-aware option hedging
Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174
Persistent link: https://www.econbiz.de/10015051231