Narrow search
Showing 1 - 10 of 662
Cover Image
Hurst exponents and delampertized fractional Brownian motions
Garcin, Matthieu - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10012153029
Cover Image
Stochastic optimal control, international finance and debt
Fleming, Wendell Helms; Stein, Jerome L. - 2002
We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...
Persistent link: https://www.econbiz.de/10011410314
Cover Image
A general model for financial crises : an application to eurozone crisis
Yener, Haluk; Soybilgen, Barış; Stengos, Thanasēs - In: International review of economics & finance : IREF 70 (2020), pp. 202-229
Persistent link: https://www.econbiz.de/10012486786
Cover Image
Futures hedging with stochastic volatility : a new method
Alghalith, Moawia; Floros, Christos - In: International journal of computational economics and … 10 (2020) 2, pp. 203-207
Persistent link: https://www.econbiz.de/10012226719
Cover Image
Options with stochastic lives
Jennergren, Lars Peter; Näslund, Bertil - 1991
Persistent link: https://www.econbiz.de/10000826417
Cover Image
Financial calculus : an introduction to derivative pricing
Baxter, Martin - 1996 - 1. publ.
Persistent link: https://www.econbiz.de/10000614304
Cover Image
Strategien zur Absicherung ungewisser Verpflichtungen mit Transaktionskosten im Binomialmodell
Wehrmann, Dirk C. - 1998
Persistent link: https://www.econbiz.de/10000676156
Cover Image
The concept of credit OAS in valuation of MBS
Levin, Alexander; Davidson, Andrew - In: The journal of portfolio management : a publication of … 34 (2007/08) 3, pp. 41-55
Persistent link: https://www.econbiz.de/10003727642
Cover Image
Modeling simultaneous defaults : a top-down approach
Kunisch, Michael; Uhrig-Homburg, Marliese - In: The journal of fixed income 18 (2008/09) 1, pp. 25-36
Persistent link: https://www.econbiz.de/10003757569
Cover Image
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209