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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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Optimal Portfolios in commodity futures markets
Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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An approximation pricing algrithm in an incomplete market : a differential geometric approach
Gao, Yuan; Guan Lim, Kian; Hwa Ng, Kah - In: Finance and stochastics 8 (2004) 4, pp. 501-523
Persistent link: https://www.econbiz.de/10002261445
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A note on the large homogeneous portfolio approximation with the student-t copula
Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584
Persistent link: https://www.econbiz.de/10003133291
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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas; Rüschendorf, Ludger - In: Finance and stochastics 5 (2001) 4, pp. 557-581
Persistent link: https://www.econbiz.de/10001614624
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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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Mean-variance hedging with oil futures
Wang, Liao; Wissel, Johannes Stefan - In: Finance and stochastics 17 (2013) 4, pp. 641-683
Persistent link: https://www.econbiz.de/10010190888
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133
Persistent link: https://www.econbiz.de/10009423247