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Stochastic modeling in economics and finance

Dupačová, Jitka - 2002

Persistent link: https://www.econbiz.de/10013420454

Markets with transaction costs : mathematical theory

Kabanov, Jurij M.; Safarian, Mher M. - 2009

Persistent link: https://www.econbiz.de/10003697408

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

Approximating random variables by stochastic integrals

Schweizer, Martin - 1993

Persistent link: https://www.econbiz.de/10000880244

Essays on risk measures and stochastic dependence : with applications to insurance and finance

Laeven, Roger Jean Auguste - 2005

Persistent link: https://www.econbiz.de/10003158080

The maximum entropy distribution for stochastically ordered random variables with fixed marginals

Kiefer, Nicholas M. (contributor) - 2009

Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio...