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Information, model performance, pricing and trading measures in incomplete markets
Huang, Jinggang; Sandow, Sven; Friedman, Craig - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 373-400
Persistent link: https://www.econbiz.de/10003344314
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Estimating univariate distributions via relative entropy minimization : case studies on financial and economic data
Friedman, Craig; Zhang, Yangyong; Huang, Jinggang - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 163-193
Persistent link: https://www.econbiz.de/10008860416
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Robust exponential hedging and indifference valuation
Owari, Keita - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1075-1101
Persistent link: https://www.econbiz.de/10008906207
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Empirical copulas for CDO trance pricing using relative entropy
Dempster, Michael A. H.; Medova, Elena A.; Yang, Seung W. - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 679-701
Persistent link: https://www.econbiz.de/10003503370
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Pricing for geometric marked point processes under partial information : entropy approach
Ceci, Claudia; Gerardi, Anna - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 179-207
Persistent link: https://www.econbiz.de/10003855758
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Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72
Persistent link: https://www.econbiz.de/10011419362
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The minimal k-entropy martingale measure
Trivellato, Barbara - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
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Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach
Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002625103
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Insider trading rules and price formation in securities markets : an entropy analysis of strategic trading
Keiber, Karl Ludwig - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1215-1243
Persistent link: https://www.econbiz.de/10003397168
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Model performance measures for expected utility maximizing investors
Friedman, Craig; Sandow, Sven - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 355-401
Persistent link: https://www.econbiz.de/10001779822