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Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Leitner, Johannes - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001626257
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Hedging under transaction costs in currency markets: a continuous-time model
Kabanov, Jurij M.; Last, Günter - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10001686166
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Weak convergence of financial markets
Prigent, Jean-Luc - 2003
Persistent link: https://www.econbiz.de/10001704709
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Hedging demands in financial markets
Hegi, Stépane - 2002
Persistent link: https://www.econbiz.de/10001710231
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Dynamic hedge with forecasting : a Martingale approach
Lee, Chin-shen - In: Advances in investment analysis and portfolio … 8 (2001), pp. 205-229
Persistent link: https://www.econbiz.de/10001640887
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Weak convergence of hedging strategies of contingent claims
Prigent, Jean-Luc; Scaillet, Olivier - 2002
Persistent link: https://www.econbiz.de/10001655839
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Essays on incomplete financial markets
Ebmeyer, Dirk - 2002
Persistent link: https://www.econbiz.de/10001656705
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Some remarks on mean-variance hedging for discontinuous asset price processes
Arai, Takuji - In: International journal of theoretical and applied finance 8 (2005) 4, pp. 425-443
Persistent link: https://www.econbiz.de/10002980637
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Hazard rate for credit risk and hedging defaultable contingent claims
Blanchet-Scalliet, Christophette; Jeanblanc, Monique - In: Finance and stochastics 8 (2004) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10001910889
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Mean Square Error for the Leland-Lott Hedging Strategy : Convex Pay-Off
Lepinette, Emmanuel - 2012
Leland's approach to the hedging of derivatives under proportional transaction costs is based on an approximate …
Persistent link: https://www.econbiz.de/10013107816