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Minimizing the ruin probability allowing investments in two assets : a two-dimensional problem
Azcue, Pablo; Muler, Nora - In: Mathematical methods of operations research 77 (2013) 2, pp. 177-206
Persistent link: https://www.econbiz.de/10009766710
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The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109
Persistent link: https://www.econbiz.de/10001631728
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Swap rates and credit quality
Duffie, Darrell - In: The journal of finance : the journal of the American … 51 (1996) 3, pp. 921-949
Persistent link: https://www.econbiz.de/10001203636
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The default risk of swaps
Cooper, Ian - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 597-620
Persistent link: https://www.econbiz.de/10001108680
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Swaps: plain and fanciful
Litzenberger, Robert H. - In: The journal of finance : the journal of the American … 47 (1992) 3, pp. 831-850
Persistent link: https://www.econbiz.de/10001132041
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Interest rate swaps and corporate financing choices
Titman, Sheridan - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1503-1516
Persistent link: https://www.econbiz.de/10001133686
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Ruin problems for a discrete time risk model with random interest rate
Yang, Hailiang; Zhang, Lihong - In: Mathematical methods of operations research 63 (2006) 2, pp. 287-299
Persistent link: https://www.econbiz.de/10003334096
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Random walk, birth-and-death process and their fluid approximations: absorbing case
Piunovskij, Alexei B. - In: Mathematical methods of operations research 70 (2009) 2, pp. 285-312
Persistent link: https://www.econbiz.de/10003905257
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Existence of shadow prices in finite probability spaces
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical methods of operations research 73 (2011) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10008991842
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Accelerated modified policy iteration algorithms for Markov decision processes
Shlakhter, Oleksandr; Lee, Chi-guhn - In: Mathematical methods of operations research 78 (2013) 1, pp. 61-76
Persistent link: https://www.econbiz.de/10009774861