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~person:"Frey, Rüdiger"
~person:"Kallsen, Jan"
~subject:"Theorie"
~subject:"Volatilität"
~type:"article"
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Theorie
Volatilität
Hedging
17
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11
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8
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8
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4
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4
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risk minimizing hedging strategies
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Frey, Rüdiger
Kallsen, Jan
Broll, Udo
73
Lien, Da-hsiang Donald
56
Kit, Pong Wong
43
Wahl, Jack E.
29
Mensi, Walid
15
Hammoudeh, Shawkat
14
Kang, Sang Hoon
13
Zilcha, Itzhak
12
Alghalith, Moawia
10
Carr, Peter
10
Lioui, Abraham
10
Madan, Dilip B.
10
Adam-Müller, Axel F. A.
8
Cvitanić, Jakša
8
Kabanov, Jurij M.
8
Lai, Yu-Sheng
8
Lence, Sergio H.
8
Myers, Robert J.
8
Xuan Vinh Vo
8
Alexander, Carol
7
Bouri, Elie
7
Dionne, Georges
7
Eckwert, Bernhard
7
Hayes, Dermot James
7
Jarrow, Robert A.
7
Li, Johnny Siu-Hang
7
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7
Yoon, Seong-min
7
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6
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6
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6
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6
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6
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6
Lee, Hsiang-Tai
6
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6
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6
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6
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Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Finance and stochastics
2
Mathematical methods of operations research
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Applied mathematical finance
1
Journal of economic dynamics & control
1
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ECONIS (ZBW)
12
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1
Dynamic
hedging
of synthetic CDO tranches with spread risk and default contagion
Frey, Rüdiger
;
Backhaus, Jochen
- In:
Journal of economic dynamics & control
34
(
2010
)
4
,
pp. 710-724
Persistent link: https://www.econbiz.de/10003966525
Saved in:
2
Discrete-time variance-optimal
hedging
in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Shenkman, Natalia
; …
- In:
Alternative investments and strategies : credit, …
,
(pp. 375-393)
.
2010
Persistent link: https://www.econbiz.de/10008655196
Saved in:
3
Pricing corporate securities under noisy asset information
Frey, Rüdiger
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 403-421
Persistent link: https://www.econbiz.de/10003882528
Saved in:
4
Hedging
by sequential regressions revisited
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 591-617
Persistent link: https://www.econbiz.de/10003937143
Saved in:
5
Mean-variance
hedging
and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
6
Risk management for derivatives in illiquid markets : a simulation study
Frey, Rüdiger
;
Patie, Pierre
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 137-159)
.
2002
Persistent link: https://www.econbiz.de/10001672230
Saved in:
7
Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
Saved in:
8
A utility maximization approach to
hedging
in incomplete markets
Kallsen, Jan
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 321-338
Persistent link: https://www.econbiz.de/10001428821
Saved in:
9
Risk-minimizing
hedging
strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
Saved in:
10
Perfect option
hedging
for a large trader
Frey, Rüdiger
- In:
Finance and stochastics
2
(
1998
)
2
,
pp. 115-141
Persistent link: https://www.econbiz.de/10001235410
Saved in:
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