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Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

Persistent link: https://www.econbiz.de/10012430679

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

Persistent link: https://www.econbiz.de/10001473109

On the pricing and hedging of credit risk in incomplete markets

Lotz, Christopher - 2000

Persistent link: https://www.econbiz.de/10001481836

A note on the utility based option pricing with proportional transaction costs under large risk aversion

Bouchard, Bruno - 2000

Persistent link: https://www.econbiz.de/10001548990

Weak convergence of financial markets

Prigent, Jean-Luc - 2003

Persistent link: https://www.econbiz.de/10001704709

Essays on incomplete financial markets

Ebmeyer, Dirk - 2002

Persistent link: https://www.econbiz.de/10001656705

On the Martingale Representation Theorem and Approximate Hedging a Contingent Claim in the Minimum Mean Square Deviation Criterion

Huu, Nguyen Van - 2009

In this work we consider the problem of the approximate hedging of a contingent claim in minimum mean square deviation … criterion. A theorem on martingale representation in the case of discrete time and an application of obtained result for semi …

Persistent link: https://www.econbiz.de/10013157546