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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates
Ghorbani, Niloofar; Korzeniowski, Andrzej - In: Inventi impact: microfinance & banking (2021) 2, pp. 83-90
Persistent link: https://www.econbiz.de/10012816013
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Hedging derivatives on two assets with model risk
Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10012222377
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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
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Fair valuation of insurance liability cash-flow streams in continuous time : applications
Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 299-333
Persistent link: https://www.econbiz.de/10012056592
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No-arbitrage and hedging with liquid American options
Bayraktar, Erhan; Zhou, Zhou - In: Mathematics of operations research 44 (2019) 2, pp. 468-486
Persistent link: https://www.econbiz.de/10012028629
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On the market viability under proportional transaction costs
Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838
Persistent link: https://www.econbiz.de/10011969083
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Robust utility maximization with Lévy processes
Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
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Stochastic volatility for utility maximizers : a martingale approach
Ellersgaard, Simon; Tegnér, Martin - In: International journal of financial engineering 5 (2018) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011922965
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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723
Persistent link: https://www.econbiz.de/10011350527