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Gestion de portefeuille avec garantie : l'allocation optimale en actifs dérivés

Bertrand, Philippe; Lesne, Jean-Philippe; Prigent, Jean-Luc - In: Finance : revue de l'Association Française de Finance 22 (2001) 1, pp. 7-35

Persistent link: https://www.econbiz.de/10001624292

Equilibrium of Financial Derivative Markets and Compensating Variations Under Portfolio Insurance Constraints

Bertrand, Philippe - 2012

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...

Persistent link: https://www.econbiz.de/10013105193

Equilibrium of financial derivative markets under portfolio insurance constraints

Bertrand, Philippe; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 278-291

Persistent link: https://www.econbiz.de/10011645654

Zertifikate spielend beherrschen : der Performance-Kick für ihr Portfolio

Zagst, Rudi; Huber, Michael - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003788193

Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

Persistent link: https://www.econbiz.de/10008655204

The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

Persistent link: https://www.econbiz.de/10009507706

Pricing of spread options on stochastically correlated underlyings

Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61

Persistent link: https://www.econbiz.de/10009534616

Pricing of derivatives on commodity indices

Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151

Persistent link: https://www.econbiz.de/10010244113

Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748