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Aliprantis, Charalambos D.; Brown, D. J.; Werner, Jan - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1703-1719

Persistent link: https://www.econbiz.de/10001508766

Minimum-cost portfolio insurance

Aliprantis, Charalambos D.; Brown, D. J.; Werner, Jan - 1999

Persistent link: https://www.econbiz.de/10001392965

The cheapest hedge : a portfolio dominance approach

Aliprantis, Charalambos D.; Polyrakis, I. A.; Tourky, Rabee - 2002

Persistent link: https://www.econbiz.de/10001643248

Variance optimal hedging in discrete time

Schweizer, Martin - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028373

Hedging of contingent claims under incomplete information

Foellmer, Hans; Schweizer, Martin - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028424

A term structure model and the pricing of interest rate options

Sandmann, Klaus; Sondermann, Dieter - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028462

Currency options: Hedging and social value

Sondermann, Dieter - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028467

Mean-variance in continuous time

Duffie, Darrel; Richardson, Henry - University of Bonn, Germany - 1989

Persistent link: https://www.econbiz.de/10005032120

A Term Structure Model and the Pricing of Interest Rate Derivative

Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is formulated in a discrete time structure. It differs substantially from the Ho--Lee-- Model (1986) and does not generate negative spot and forward rates. The results for the...

Persistent link: https://www.econbiz.de/10005032172

The cheapest hedge

Aliprantis, Charalambos D.; Polyrakis, Yiannis A.; … - In: Journal of mathematical economics 37 (2002) 4, pp. 269-295

Persistent link: https://www.econbiz.de/10001703417