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Identifiability and estimation of possibly non-invertible SVARMA models : the normalised canonical WHF parametrisation

Funovits, Bernd - In: Journal of econometrics 241 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10015075190

Efficient evaluation of expectations of functions of a Lévy process and its extremum

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468

Persistent link: https://www.econbiz.de/10015394806

Hilbert transform, spectral filters and option pricingh

Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: Application of operations research to financial markets, (pp. 273-298). 2019

Persistent link: https://www.econbiz.de/10012157552

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options

Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223

Persistent link: https://www.econbiz.de/10011882800

Optimal capital structure and endogenous default

Hilberink, Bianca; Rogers, L.C.G. - In: Finance and Stochastics 6 (2002) 2, pp. 237-263

In a sequence of fascinating papers, Leland and Leland and Toft have investigated various properties of the debt and credit of a firm which keeps a constant profile of debt and chooses its bankruptcy level endogenously, to maximise the value of the equity. One feature of these papers is that the...

Persistent link: https://www.econbiz.de/10005390699