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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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Market risks that change US-European equity correlations
Sarwar, Ghulam - In: Journal of international financial markets, … 83 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014306348
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Hedging and portfolio optimization under transaction costs : a martingale approach
Cvitanić, Jakša - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 133-165
Persistent link: https://www.econbiz.de/10001201641
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Minimizing transaction costs of option hedging strategies
Grannan, E. R. - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10001208937
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Portfolio management with transaction costs : an asymptotic analysis of the Morton and Pliska model
Atkinson, Colin - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 357-367
Persistent link: https://www.econbiz.de/10001189276
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Optimal portfolio management with fixed transaction costs
Morton, Andrew J. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356
Persistent link: https://www.econbiz.de/10001189277
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542