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Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift
Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788
Persistent link: https://www.econbiz.de/10011350516
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647
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Optimal investment under relative performance concerns
Espinosa, Gilles.Eduard; Touzi, Nizar - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 221-257
Persistent link: https://www.econbiz.de/10011350661
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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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Tug-of-war, market manipulation, and option pricing
Nyström, Kaj; Parviainen, Mikko - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 279-312
Persistent link: https://www.econbiz.de/10011752483
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Multifractional stochastic volatility models
Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 364-402
Persistent link: https://www.econbiz.de/10010357370
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Special issue: Conference on Applications of Malliavin Calculus in Finance
2003
Persistent link: https://www.econbiz.de/10001765613
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First-order schemes in the numerical quantization method
Bally, V.; Pagès, G.; Printems, J. - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001765624
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Local vega index and variance reduction methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97
Persistent link: https://www.econbiz.de/10001765651