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The expected return of a static Black-Scholes delta-hedge and the CAPM

Choi, Daniel F. S.; Ouyang, Peter G. Z. - In: Advances in quantitative analysis of finance and … 8 (2000), pp. 259-266

Persistent link: https://www.econbiz.de/10001543222

Incomepleteness of markets driven by a mixed diffusion

Bellamy, N.; Jeanblanc, Monique - In: Finance and stochastics 4 (2000) 2, pp. 209-222

Persistent link: https://www.econbiz.de/10001487034

Mathematics of financial markets

Elliott, Robert J.; Kopp, Peter E. - 2005 - 2. ed.

Persistent link: https://www.econbiz.de/10001973330

The Oxford guide to financial modeling : applications for capital markets, corporate finance, risk management and financial institutions

Ho, Thomas S. Y.; Lee, Sang Bin - 2004

Persistent link: https://www.econbiz.de/10001792333

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2006

Persistent link: https://www.econbiz.de/10002123958

Default risk in bond and credit derivatives markets

Benkert, Christoph - 2004

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...