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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - In: Finance and stochastics 9 (2005) 2, pp. 197-209
Persistent link: https://www.econbiz.de/10002747154
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Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
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On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas; Landén, Camilla - In: Finance and stochastics 6 (2002) 3, pp. 303-331
Persistent link: https://www.econbiz.de/10001680671