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subject:"Risiko"
isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Risiko
Markov chain
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Option pricing theory
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154
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Filipović, Damir
4
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Cont, Rama
2
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Mathematical finance : an international journal of mathematics, statistics and financial theory
European journal of operational research : EJOR
365
Insurance / Mathematics & economics
284
NBER working paper series
215
Economics letters
198
Working paper / National Bureau of Economic Research, Inc.
197
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188
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173
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151
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143
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126
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122
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118
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112
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109
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91
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82
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Theory and decision : an international journal for multidisciplinary advances in decision science
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70
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70
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69
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67
International journal of theoretical and applied finance
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1
Risk-minimization for life insurance liabilities with dependent mortality risk
Biagini, Francesca
;
Botero, Camila
;
Schreiber, Irene
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 505-533
Persistent link: https://www.econbiz.de/10011752521
Saved in:
2
Model uncertainty and scenario aggregation
Cambou, Mathieu
;
Filipović, Damir
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 534-567
Persistent link: https://www.econbiz.de/10011752528
Saved in:
3
Comparing local risks by acceptance and rejection
Schreiber, Amnon
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 412-430
Persistent link: https://www.econbiz.de/10011577169
Saved in:
4
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
Saved in:
5
Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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6
Multivariate subordination of Markov processes with financial applications
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 699-747
Persistent link: https://www.econbiz.de/10011583791
Saved in:
7
Fire sales forensics : measuring endogenous risk
Cont, Rama
;
Wagalath, Lakshithe
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 835-866
Persistent link: https://www.econbiz.de/10011583806
Saved in:
8
Multivariate risk measures : a constructive approach based on selections
Molčanov, Il'ja S.
;
Cascos, Ignacio
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 867-900
Persistent link: https://www.econbiz.de/10011583808
Saved in:
9
Coherence and elicitability
Ziegel, Johanna F.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 901-918
Persistent link: https://www.econbiz.de/10011583809
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10
Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
Saved in:
11
Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco
;
Maggis, Marco
;
Peri, Ilaria
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 442-463
Persistent link: https://www.econbiz.de/10010484275
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12
Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino
;
Figueroa-López, José E.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
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13
Schur convex functionals : Fatou property and representation
Grechuk, Bogdan
;
Zabarankin, Michael
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 411-418
Persistent link: https://www.econbiz.de/10009613189
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14
Risk horizon and rebalancing horizon in portfolio risk measurement
Glasserman, Paul
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 214-249
Persistent link: https://www.econbiz.de/10009613204
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15
Dynamic CDO term structure modeling
Filipović, Damir
;
Overbeck, Ludger
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 53-71
Persistent link: https://www.econbiz.de/10008935703
Saved in:
16
On two approaches to coherent risk contribution
Cherny, Alexander
;
Orlov, Dmitri
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 557-571
Persistent link: https://www.econbiz.de/10009156014
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17
Risk measures : rationality and diversification
Cerreia-Vioglio, Simone
;
Maccheroni, Fabio
;
Marinacci, …
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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18
MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.
;
Li, Haitao
;
Wells, Martin T.
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
Saved in:
19
Risk-reward optimization with discrete-time coherent risk
Cherny, Alexander S.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 571-595
Persistent link: https://www.econbiz.de/10008666990
Saved in:
20
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
Saved in:
21
Indifference valuation of mortgage-backed securities in the presence of prepayment risk
Zhou, Ti
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 479-507
Persistent link: https://www.econbiz.de/10008667032
Saved in:
22
Tractable robust expected utility and risk models for portfolio optimization
Natarajan, Karthik
;
Sim, Melvyn
;
Uichanco, Joline
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 695-731
Persistent link: https://www.econbiz.de/10008667625
Saved in:
23
The dependence structure of running maxima and minima : results and option pricing applications
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 35-58
Persistent link: https://www.econbiz.de/10003955657
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24
Optimal dividend payments when cash reserves follow a jump-diffusion process
Belhaj, Mohamed
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 313-325
Persistent link: https://www.econbiz.de/10003955745
Saved in:
25
Risk measures on Orlicz hearts
Cheridito, Patrick
;
Li, Tianhui
- In:
Mathematical finance : an international journal of …
19
(
2009
)
2
,
pp. 189-214
Persistent link: https://www.econbiz.de/10003827571
Saved in:
26
Estimation of value at risk and ruin probability for diffusion processes with jumps
Denis, Laurent
;
Fernández, Begoña
;
Meda, Ana
- In:
Mathematical finance : an international journal of …
19
(
2009
)
2
,
pp. 281-302
Persistent link: https://www.econbiz.de/10003827581
Saved in:
27
Risk measures for non-integrable random variables
Delbaen, Freddy
- In:
Mathematical finance : an international journal of …
19
(
2009
)
2
,
pp. 329-333
Persistent link: https://www.econbiz.de/10003827618
Saved in:
28
Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole
;
Ravanelli, Claudia
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
Saved in:
29
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
Saved in:
30
One-parameter families of distortion risk measures
Tsukahara, Hideatsu
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10003937550
Saved in:
31
Capital allocation and risk contribution with discrete-time coherent risk
Cherny, Alexander S.
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 13-40
Persistent link: https://www.econbiz.de/10003818201
Saved in:
32
Valuations and dynamic convex risk measures
Jobert, A.
;
Rogers, Leonard C. G.
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10003643454
Saved in:
33
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
34
Optimal numeraires for risk measures
Filipović, Damir
- In:
Mathematical finance : an international journal of …
18
(
2008
)
2
,
pp. 333-336
Persistent link: https://www.econbiz.de/10003683299
Saved in:
35
An old-new concept of convex risk measures : the optimized certainty equivalent
Ben-Tal, Aharon
;
Teboulle, Marc
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 449-476
Persistent link: https://www.econbiz.de/10003626576
Saved in:
36
Portofolio optimization with jumps and unobservable intensity process
Bäuerle, Nicole
;
Rieder, Ulrich
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10003543121
Saved in:
37
Distribution-invariant risk measures, information, and dynamic consistency
Weber, Stefan
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 419-441
Persistent link: https://www.econbiz.de/10003326030
Saved in:
38
Markowitz's portfolio optimization in an incomplete market
Xia, Jianming
;
Yan, Jia-an
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 203-216
Persistent link: https://www.econbiz.de/10003336872
Saved in:
39
Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama
- In:
Mathematical finance : an international journal of …
16
(
2006
)
3
,
pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
Saved in:
40
No arbitrage under transaction costs, with fractional Brownian motion and beyond
Guasoni, Paolo
- In:
Mathematical finance : an international journal of …
16
(
2006
)
3
,
pp. 569-582
Persistent link: https://www.econbiz.de/10003338701
Saved in:
41
Risk measures and capital requirements for processes
Frittelli, Marco
;
Scandolo, Giacomo
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 589-612
Persistent link: https://www.econbiz.de/10003394174
Saved in:
42
Coherent acceptability measures in multiperiod models
Roorda, Berend
;
Schumacher, Johannes M.
;
Engwerda, …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
4
,
pp. 589-612
Persistent link: https://www.econbiz.de/10003121131
Saved in:
43
A short note on second-order stochastic dominance preserving coherent risk measures
Leitner, Johannes
- In:
Mathematical finance : an international journal of …
15
(
2005
)
4
,
pp. 649-651
Persistent link: https://www.econbiz.de/10003121136
Saved in:
44
Pareto equilibria with coherent measures of risk
Heath, David
;
Ku, Hyejin
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 163-172
Persistent link: https://www.econbiz.de/10002032683
Saved in:
45
Some remarks on arbitrage and preferences in securities markt models
Frittelli, Marco
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 351-357
Persistent link: https://www.econbiz.de/10002125515
Saved in:
46
Quadratic term structure models for risk-free and defaultable rates
Chen, Li
;
Filipović, Damir
;
Poor, H. Vincent
- In:
Mathematical finance : an international journal of …
14
(
2004
)
4
,
pp. 515-536
Persistent link: https://www.econbiz.de/10002396345
Saved in:
47
Dynamic minimization of worst conditional expectation of shortfall
Sekine, Jun
- In:
Mathematical finance : an international journal of …
14
(
2004
)
4
,
pp. 605-618
Persistent link: https://www.econbiz.de/10002396403
Saved in:
48
A partially observed model for micromovement of asset prices with Bayes estimation via filtering
Zeng, Yong
- In:
Mathematical finance : an international journal of …
13
(
2003
)
3
,
pp. 411-444
Persistent link: https://www.econbiz.de/10001782290
Saved in:
49
On the existence of finite-dimensional realizations for nonlinear forward rate models
Björk, Tomas
;
Svensson, Lars E. O.
- In:
Mathematical finance : an international journal of …
11
(
2001
)
2
,
pp. 205-243
Persistent link: https://www.econbiz.de/10001650926
Saved in:
50
Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
Israel, Robert B.
;
Rosenthal, Jeffrey S.
;
Wei, Jason
- In:
Mathematical finance : an international journal of …
11
(
2001
)
2
,
pp. 245-265
Persistent link: https://www.econbiz.de/10001650927
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