Narrow search
Showing 1 - 10 of 132
Cover Image
Linear estimation and stochastic control
Davis, Mark H. A. - 1977 - 1. publ.
Persistent link: https://www.econbiz.de/10000089406
Cover Image
Optimal hedging with basis risk
Davis, Mark H. A. - In: From stochastic calculus to mathematical finance : the …, (pp. 169-187). 2006
Persistent link: https://www.econbiz.de/10003287153
Cover Image
Model-free methods in valuation and hedging of derivative securities
Davis, Mark H. A. - In: The handbook of post crisis financial modelling, (pp. 168-189). 2016
Persistent link: https://www.econbiz.de/10011475750
Cover Image
Mathematical finance : a very short introduction
Davis, Mark H. A. - 2019 - First edition
Persistent link: https://www.econbiz.de/10012013898
Cover Image
Contagion models in credit risk
Davis, Mark H. A. - In: The Oxford handbook of credit derivatives, (pp. 285-326). 2011
Persistent link: https://www.econbiz.de/10014565536
Cover Image
Negative Libor rates in the swap market model
Davis, Mark H. A.; Mataix-Pastor, Vicente - In: Finance and stochastics 11 (2007) 2, pp. 181-193
Persistent link: https://www.econbiz.de/10003439752
Cover Image
Arbitrage-free interpolation of the swap curve
Davis, Mark H. A.; Mataix-Pastor, Vicente - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 969-1005
Persistent link: https://www.econbiz.de/10003928772
Cover Image
Optimal investment under partial information
Björk, Tomas; Davis, Mark H. A. - In: Mathematical methods of operations research 71 (2010) 2, pp. 371-399
Persistent link: https://www.econbiz.de/10003958366
Cover Image
The range of traded option prices
Davis, Mark H. A.; Hobson, David G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10003543093
Cover Image
Optimal investment under partial information
Björk, Tomas; Davis, Mark H. A.; Landén, Camilla - 2010 - Reprinted
We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...
Persistent link: https://www.econbiz.de/10009487225