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On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Quantitative finance : its development, mathematical foundations, and current scope
Epps, Thomas W. - 2009
Persistent link: https://www.econbiz.de/10003756274
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
Morlais, MarieAmélie - In: Finance and stochastics 13 (2009) 1, pp. 121-150
Persistent link: https://www.econbiz.de/10003939488
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Modeling liquidity effects in discrete time
Çetin, Umut; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-29
Persistent link: https://www.econbiz.de/10003543099
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Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers
Temme, Johannes P. - In: Mathematical methods of operations research 76 (2012) 1, pp. 21-41
Persistent link: https://www.econbiz.de/10009571220
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Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats; Tankov, Peter - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
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On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro - In: Journal of mathematical finance 5 (2015) 2, pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682