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21
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Finance and stochastics
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1
Arbitrage problems with reflected geometric Brownian motion
Buckner, Dean
;
Dowd, Kevin
;
Hulley, Hardy
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014447570
Saved in:
2
A càdlàg rough path foundation for robust finance
Allan, Andrew L.
;
Liu, Chong
;
Prömel, David Johannes
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 215-257
Persistent link: https://www.econbiz.de/10014447739
Saved in:
3
Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias
;
Lowther, George
;
Pammer, Gudmund
; …
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
Saved in:
4
Hedging with physical or cash settlement under transient multiplicative price impact
Becherer, Dirk
;
Bilarev, Todor
- In:
Finance and stochastics
28
(
2024
)
2
,
pp. 285-328
Persistent link: https://www.econbiz.de/10015130302
Saved in:
5
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Brachetta, Matteo
;
Callegaro, Giorgia
;
Ceci, Claudia
; …
- In:
Finance and stochastics
28
(
2024
)
2
,
pp. 453-495
Persistent link: https://www.econbiz.de/10015130335
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6
Functional central limit theorems for rough volatility
Horvath, Blanka Nora
;
Jacquier, Antoine
;
Muguruza, Aitor
; …
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 615-661
Persistent link: https://www.econbiz.de/10015130353
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7
Speeding up the Euler scheme for killed diffusions
Çetin, Umut
;
Hok, Julien
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 663-707
Persistent link: https://www.econbiz.de/10015130359
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8
Duality in optimal consumption-investment problems with alternative data
Chen, Kexin
;
Wong, Hoi Ying
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 709-758
Persistent link: https://www.econbiz.de/10015130378
Saved in:
9
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Horst, Ulrich
;
Kivman, Evgueni
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 759-812
Persistent link: https://www.econbiz.de/10015130386
Saved in:
10
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 813-863
Persistent link: https://www.econbiz.de/10015130389
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