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Applications of Malliavin calculus to Monte-Carlo methods in finance, [Teil] II
Fournié, Éric (contributor) - In: Finance and stochastics 5 (2001) 2, pp. 201-236
Persistent link: https://www.econbiz.de/10001571492
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A class of risk neutral densities with heavy tails
Hartvig, Niels Væver; Ledet Jensen, Jens; Pedersen, Jan - In: Finance and stochastics 5 (2001) 1, pp. 115-128
Persistent link: https://www.econbiz.de/10001553060
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Applications of Malliavin calculus to Monte Carlo methods in finance, [Teil 1]
Fournié, Éric (contributor) - In: Finance and stochastics 3 (1999) 4, pp. 391-412
Persistent link: https://www.econbiz.de/10001412112
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A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Beniamin - In: Finance and stochastics 1 (1997) 4, pp. 345-352
Persistent link: https://www.econbiz.de/10001226609
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Fast accurate binomial pricing
Rogers, Leonard C. G. - In: Finance and stochastics 2 (1998) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10001230164
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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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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Dassios, Angelos; Zhang, You You - In: Finance and stochastics 20 (2016) 3, pp. 773-804
Persistent link: https://www.econbiz.de/10011531449
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An optimal consumption problem in finite time with a constraint on the ruin probability
Grandits, Peter - In: Finance and stochastics 19 (2015) 4, pp. 791-847
Persistent link: https://www.econbiz.de/10011421027
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Continuous-time trading and the emergence of probability
Vovk, Vladimir - In: Finance and stochastics 16 (2012) 4, pp. 561-609
Persistent link: https://www.econbiz.de/10009623542
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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