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Optimal liquidation of derivative portfolios
Henderson, Vicky; Hobson, David G. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 365-382
Persistent link: https://www.econbiz.de/10009155206
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Recovering portfolio default intensities implied by CDO quotes
Cont, Rama; Minca, Andreea - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 94-121
Persistent link: https://www.econbiz.de/10009712557
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Dynamic minimization of worst conditional expectation of shortfall
Sekine, Jun - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 605-618
Persistent link: https://www.econbiz.de/10002396403
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Evaluating hedging errors : an asymptotic approach
Hayashi, Takaki; Mykland, Per A. - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 309-343
Persistent link: https://www.econbiz.de/10002725490
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On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
Kabanov, Jurij M.; Stricker, Christophe - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 125-134
Persistent link: https://www.econbiz.de/10001686231
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Fundamental theorems of asset pricing for good deal bounds
Staum, Jeremy - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 141-161
Persistent link: https://www.econbiz.de/10002032681
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A time consistent derivative strategy
Mudzimbabwe, Walter - In: International journal of financial engineering 7 (2020) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834
Persistent link: https://www.econbiz.de/10011583805