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~subject:"Portfolio selection"
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Portfolio selection
Option pricing theory
16
Optionspreistheorie
16
Stochastic process
14
Stochastischer Prozess
14
Hedging
9
Portfolio-Management
9
Theorie
8
Theory
8
Derivat
7
Derivative
7
Electricity price
6
Strompreis
6
Electric power industry
5
Elektrizitätswirtschaft
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4
Martingal
4
Martingale
4
Volatility
4
Volatilität
4
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3
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3
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Electricity derivative pricing
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Finanzmathematik
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Investitionsentscheidung
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Investment decision
3
Lévy process
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Nachhaltige Kapitalanlage
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Risiko
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Risikomanagement
3
Risk
3
Risk management
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Spot market
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Spotmarkt
3
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English
9
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Tankov, Peter
9
Cont, Rama
2
Pham, Huyên
2
Brodén, Mats
1
Chau, Huy N.
1
Cretarola, Alessandra
1
De Franco, Carmine
1
Gozzi, Fausto
1
Jiao, Ying
1
Klopfenstein, Olivier
1
Ménassé, Clément
1
Runggaldier, Wolfgang J.
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Finance and stochastics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Chapman & Hall/CRC financial mathematics series
1
Insurance / Mathematics & economics
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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1
A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
Saved in:
2
Constant proportion portfolio insurance in the presence of jumps in asset prices
Cont, Rama
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 379-401
Persistent link: https://www.econbiz.de/10003882496
Saved in:
3
Optimal consumption policies in illiquid markets
Cretarola, Alessandra
;
Gozzi, Fausto
;
Pham, Huyên
; …
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 85-115
Persistent link: https://www.econbiz.de/10008824131
Saved in:
4
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
5
Portfolio insurance under a risk-measure constraint
De Franco, Carmine
;
Tankov, Peter
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 361-370
Persistent link: https://www.econbiz.de/10009404705
Saved in:
6
Financial modelling with jump processes
Cont, Rama
;
Tankov, Peter
-
2004
Persistent link: https://www.econbiz.de/10001790344
Saved in:
7
Approximate indifference pricing in exponential Lévy models
Ménassé, Clément
;
Tankov, Peter
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
Saved in:
8
Arbitrage and utility maximization in market models with an insider
Chau, Huy N.
;
Runggaldier, Wolfgang J.
;
Tankov, Peter
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
Saved in:
9
Hedging under multiple risk constraints
Jiao, Ying
;
Klopfenstein, Olivier
;
Tankov, Peter
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
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