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An empirical approach to financial crisis indicators based on random matrices
Douady, Raphaël; Kornprobst, Antoine - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011889477
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The potential approach in practice
Kluge, Tino; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011889513
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Dynamic mean-variance optimization problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011854586
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XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
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Out-of-sample stock return prediction using higher-order moments
Faias, José Afonso; Castel-Branco, Tiago - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011926608
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Bank panics and fire sales, insolvency and illiquidity
Hurd, T. R. - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10011926614
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Heterogeneity in risk preferences leads to stochastic volatility
Leisen, Dietmar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011926621
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A path integral approach to derivative security pricing, [Teil] 1, Formalism and analytical results
Bennati, Eleonora; Rosa-Clot, Marco; Taddei, Stefano - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407
Persistent link: https://www.econbiz.de/10001438696
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A path integral approach to derivative security pricing, [Teil II, Numerical methods
Rosa-Clot, Marco; Taddei, Stefano - In: International journal of theoretical and applied finance 5 (2002) 2, pp. 123-146
Persistent link: https://www.econbiz.de/10001662965