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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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Processes of normal inverse Gaussian type
Barndorff-Nielsen, Ole E. - In: Finance and stochastics 2 (1998) 1, pp. 41-68
Persistent link: https://www.econbiz.de/10001230156
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; … - In: Finance and stochastics 28 (2024) 1, pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
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Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud - In: Finance and stochastics 11 (2007) 4, pp. 495-519
Persistent link: https://www.econbiz.de/10003645519
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Existence of Lévy term structure models
Filipović, Damir; Tappe, Stefan - In: Finance and stochastics 12 (2008) 1, pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
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Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob - In: Finance and stochastics 18 (2014) 3, pp. 617-649
Persistent link: https://www.econbiz.de/10010395982
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Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500