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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - In: Advanced mathematical methods for finance, (pp. 35-74). 2011
Persistent link: https://www.econbiz.de/10008991339
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Exchange options under jump-diffusion dynamics
Cheang, Gerald H. L.; Chiarella, Carl - In: Applied mathematical finance 18 (2011) 3/4, pp. 245-276
Persistent link: https://www.econbiz.de/10009381930
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Option pricing in incomplete markets : modeling based on geometric Lévy processes and minimal entropy martingale measures
Miyahara, Yoshio - 2012
Persistent link: https://www.econbiz.de/10009426688
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Limit theorems for stationary increments Lévy driven moving averages
Basse-O'Connor, Andreas; Lachièze-Rey, Raphaël; … - 2015
Persistent link: https://www.econbiz.de/10011398661
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Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility
Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382
Persistent link: https://www.econbiz.de/10011347485
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Martingale unobserved component models
Shephard, Neil G. - 2013
Persistent link: https://www.econbiz.de/10009747434
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Martingale unobserved component models
Shephard, Neil G. - 2013
Persistent link: https://www.econbiz.de/10009732804
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - 2002
information drift, i.e. the drift to eliminate in order to preserve the martingale property in the insider's filtration, turns out … ; enlargement of filtrations ; Malliavin's calculus ; free lunch ; arbitrage ; equivalent martingale measure ; Bessel process …
Persistent link: https://www.econbiz.de/10009620768
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Pricing of unemployment insurance products with doubly stochastic Markov chains
Biagini, Francesca; Widenmann, Jan - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624472
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670
Persistent link: https://www.econbiz.de/10010227909