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Variance optimal hedging in discrete time
Schweizer, Martin - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028373
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Hedging of contingent claims under incomplete information
Foellmer, Hans; Schweizer, Martin - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028424
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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
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Currency options: Hedging and social value
Sondermann, Dieter - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028467
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Mean-variance in continuous time
Duffie, Darrel; Richardson, Henry - University of Bonn, Germany - 1989
Persistent link: https://www.econbiz.de/10005032120
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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