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Algorithmic trading of co-integrated assets
Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18
Persistent link: https://www.econbiz.de/10011572368
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Algorithmic trading with learning
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10011523847
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Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.; Nosrati, Amir - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
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On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii; Melʹnikov, Aleksandr V.; Mišura, … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011734050