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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Valuation of default-sensitive claims under imperfect information
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10003716260
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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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Stochastic flow approach to Dupire's formula
Jourdain, B. - In: Finance and stochastics 11 (2007) 4, pp. 521-535
Persistent link: https://www.econbiz.de/10003645525
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa; León, Jorge A.; Vives, Josep - In: Finance and stochastics 11 (2007) 4, pp. 571-589
Persistent link: https://www.econbiz.de/10003645538
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A model for high frequency data under partial information : a filtering approach
Ceci, Claudia; Gerardi, Anna - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 555-576
Persistent link: https://www.econbiz.de/10003347389
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Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
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Consistent variance curve models
Buehler, Hans - In: Finance and stochastics 10 (2006) 2, pp. 178-203
Persistent link: https://www.econbiz.de/10003334916
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Comparison of option prices in seminartingale models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10003334918