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Pricing and hedging in incomplete markets with model uncertainty
Balter, Anne G.; Pelsser, Antoon André Jean - In: European journal of operational research : EJOR 282 (2020) 3, pp. 911-925
Persistent link: https://www.econbiz.de/10012161810
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Measurement of interest rates using a convex optimization model
Blomvall, Jörgen - In: European journal of operational research : EJOR 256 (2017) 1, pp. 308-316
Persistent link: https://www.econbiz.de/10011611272
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
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Efficiency analysis, shortage functions, arbitrage, and martingales
Chambers, Robert G.; Färe, Rolf - In: European journal of operational research : EJOR 213 (2011) 1, pp. 349-358
Persistent link: https://www.econbiz.de/10009159255
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Cagan type rational expectation model on complec discrete time domains
Atıcı, Ferhan M.; Ekiz, Funda; Lebendinsky, Alex - In: European journal of operational research : EJOR 237 (2014) 1, pp. 148-151
Persistent link: https://www.econbiz.de/10010378639
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
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Indifference pricing of insurance-linked securities in a multi-period model
Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: European journal of operational research : EJOR 289 (2021) 2, pp. 793-805
Persistent link: https://www.econbiz.de/10012416884
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Large portfolio losses in a turbulent market
Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
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Dynamic safety first expected utility model
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 271 (2018) 1, pp. 141-154
Persistent link: https://www.econbiz.de/10011882786