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An analysis of the supply curve for liquidity risk through book data
Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
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Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz - In: Bank i kredyt 42 (2011) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10008906090
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A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157
Persistent link: https://www.econbiz.de/10003947634
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Immersion property and credit risk modelling
Jeanblanc, Monique; Cam, Yann Le - In: Optimality and risk - modern trends in mathematical …, (pp. 99-131). 2009
Persistent link: https://www.econbiz.de/10003948445
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The expected number of intersections of a four valued bounded martingale with any level may be infinite
Gordon, Alexander; Sonin, Isaac M. - In: Optimality and risk - modern trends in mathematical …, (pp. 87-98). 2009
Persistent link: https://www.econbiz.de/10003948448
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Exponential utility indifference valuation in a general semimartingale model
Frei, Christoph; Schweizer, Martin - In: Optimality and risk - modern trends in mathematical …, (pp. 49-86). 2009
Persistent link: https://www.econbiz.de/10003948452
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On certain distributions associated with the range of Martingales
Cherny, Alexander; Dupire, Bruno - In: Optimality and risk - modern trends in mathematical …, (pp. 29-38). 2009
Persistent link: https://www.econbiz.de/10003948468
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On the approximation of geometric fractional Brownian motion
Valkeila, Esko - In: Optimality and risk - modern trends in mathematical …, (pp. 251-266). 2009
Persistent link: https://www.econbiz.de/10003948911
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From implied to spot volatilities
Durrleman, Valdo - In: Finance and stochastics 14 (2010) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10003951488
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Hedging variance options on continuous semimartingales
Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207
Persistent link: https://www.econbiz.de/10003951494