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On Kolmogorov equations for anisotropic multivariate Lévy processes
Reich, N.; Schwab, Christoph; Winter, C. - In: Finance and stochastics 14 (2010) 4, pp. 527-567
Persistent link: https://www.econbiz.de/10008823691
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Counterparty risk and funding : immersion and beyond
Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930
Persistent link: https://www.econbiz.de/10011569906
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On measuring nonlinear risk with scarce observations
Cherny, Alexander; Douady, Raphael; Molčanov, … - In: Finance and stochastics 14 (2010) 3, pp. 375-395
Persistent link: https://www.econbiz.de/10010216489
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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10001762730
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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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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatovi´c, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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Exploding hedging errors for digital options
Gallus, Christoph - In: Finance and stochastics 3 (1999) 2, pp. 187-201
Persistent link: https://www.econbiz.de/10001367045