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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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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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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
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Universal bounds for asset prices in heterogeneous economies
Malamud, Semyon - In: Finance and stochastics 12 (2008) 3, pp. 411-422
Persistent link: https://www.econbiz.de/10003899203
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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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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Basket CDS pricing with interacting intensities
Zheng, Harry; Jiang, Lishang - In: Finance and stochastics 13 (2009) 3, pp. 445-469
Persistent link: https://www.econbiz.de/10003899327