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Uncertainty versus randomness : minimizing model dependence
Wilmott, Paul - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 493-500
Persistent link: https://www.econbiz.de/10001523034
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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Vrins, Frédéric - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10011763941
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A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
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Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-19
Persistent link: https://www.econbiz.de/10009672606
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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A subordinated CIR intensity model with application to wrong-way risk CVA
Mbaye, Cheikh; Vrins, Frédéric - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-22
Persistent link: https://www.econbiz.de/10011956998
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Representation of BSDE-based dynamic risk measures and dynamic capital allocations
Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10010437199