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On sequential parameter estimation for some linear stochastic differential equations with time delay

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 1998

Persistent link: https://www.econbiz.de/10009578573

Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

Burgard, Christoph; Kjaer, Mats - In: The journal of credit risk : published quarterly by … 7 (2011/12) 3, pp. 75-93

Persistent link: https://www.econbiz.de/10009375162

Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations

Hepperger, Peter Thomas - 2011

Persistent link: https://www.econbiz.de/10009375794

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...