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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10009562323
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On the law of one price
Courtault, Jean-Michael; Delbaen, Freddy; Kabanov, Jurij M. - In: Finance and stochastics 8 (2004) 4, pp. 525-530
Persistent link: https://www.econbiz.de/10002261465
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Hazard rate for credit risk and hedging defaultable contingent claims
Blanchet-Scalliet, Christophette; Jeanblanc, Monique - In: Finance and stochastics 8 (2004) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10001910889
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
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Optimization of consumption with labor income
El Karoui, Nicole - In: Finance and stochastics 2 (1998) 4, pp. 409-440
Persistent link: https://www.econbiz.de/10001247133
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A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
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No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480