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Two price economies in continuous time

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Annals of finance 10 (2014) 1, pp. 71-100

Persistent link: https://www.econbiz.de/10010244607

A simple stochastic rate model for rate equity hybrid products

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Applied mathematical finance 20 (2013) 5/6, pp. 461-488

Persistent link: https://www.econbiz.de/10010235587

Bid and ask prices as non-linear continuous time G-expectations based on distortions

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Mathematics and financial economics 8 (2014) 3, pp. 265-289

Persistent link: https://www.econbiz.de/10010365556

Modeling risk-weighted assets and the risk sensitivity of related capital requirements

Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23

Persistent link: https://www.econbiz.de/10010237932

Hedge fund performance : sources and measures

Eberlein, Ernst; Madan, Dilip B. - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 267-282

Persistent link: https://www.econbiz.de/10003867399

On pricing risky loans and collateralized fund obligations

Eberlein, Ernst; German, Helyette; Madan, Dilip B. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 37-54

Persistent link: https://www.econbiz.de/10003903235

On correlating Lévy processes

Eberlein, Ernst; Madan, Dilip B. - In: Journal of risk 13 (2010/11) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10008699159

Short positions, rally fears and option markets

Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98

Persistent link: https://www.econbiz.de/10003975322

Pricing to acceptability : with applications to valuation of one’s own credit risk

Eberlein, Ernst; Gehrig, Thomas; Madan, Dilip B. - In: Journal of risk 15 (2012/13) 1, pp. 91-120

Persistent link: https://www.econbiz.de/10009657963

Two price economies in continuous time

Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; … - In: Annals of Finance 10 (2014) 1, pp. 71-100

Static and discrete time pricing operators for two price economies are reviewed and then generalized to the continuous time setting of an underlying Hunt process. The continuous time operators define nonlinear partial integro–differential equations that are solved numerically for the three...

Persistent link: https://www.econbiz.de/10010989123