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Acceptability indexes via g-expectations : an application to liquidity risk
Rosazza Gianin, Emanuela; Sgarra, Carlo - In: Mathematics and financial economics 7 (2013) 4, pp. 457-475
Persistent link: https://www.econbiz.de/10009790472
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
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Optimal investment in markets with over and under-reaction to information
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; … - In: Mathematics and financial economics 11 (2017) 3, pp. 299-322
Persistent link: https://www.econbiz.de/10011900563
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Cointegration in continuous time for factor models
Benth, Fred Espen; Süss, Andre - In: Mathematics and financial economics 13 (2019) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012055754
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877