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ECONIS (ZBW)
245
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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
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:
3
Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
Saved in:
4
A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
Saved in:
5
Discount models
Filipović, Damir
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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6
Optimal execution with stochastic delay
Cartea, Álvaro
;
Sánchez-Betancourt, Leandro
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10013489491
Saved in:
7
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin
;
Hobson, David G.
;
Jerome, Joseph
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
Saved in:
8
My journey through finance and stochastics
Musiela, Marek
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 33-58
Persistent link: https://www.econbiz.de/10012796468
Saved in:
9
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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10
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
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11
Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen
;
Detering, Nils
;
Galimberti, Luca
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 81-121
Persistent link: https://www.econbiz.de/10014447586
Saved in:
12
Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei
;
Pergamenchtchikov, Serguei
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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13
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas
;
Schwab, Christoph
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 615-657
Persistent link: https://www.econbiz.de/10012665197
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14
Market-to-book ratio in stochastic portfolio theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
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15
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
16
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
17
Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
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18
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz
;
Rakhmonov, Firuz
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
Saved in:
19
Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir
;
Yansori, Sina
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
Saved in:
20
The characteristic function of Gaussian stochastic volatility models : an analytic expression
Abi Jaber, Eduardo
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 733-769
Persistent link: https://www.econbiz.de/10013440250
Saved in:
21
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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22
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
23
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
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24
Set-valued risk measures as backward stochastic difference inclusions and equations
Ararat, Çağın
;
Feinstein, Zachary
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 43-76
Persistent link: https://www.econbiz.de/10012433511
Saved in:
25
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Saved in:
26
The value of power-related options under spectrally negative Lévy processes
Aguilar, Jean-Philippe
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 173-196
Persistent link: https://www.econbiz.de/10012549113
Saved in:
27
High-frequency trading with fractional Brownian motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
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28
Concavity, stochastic utility, and risk aversion
Jarrow, Robert A.
;
Li, Siguang
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 311-330
Persistent link: https://www.econbiz.de/10012499688
Saved in:
29
Infinite-dimensional polynomial processes
Cuchiero, Christa
;
Svaluto-Ferro, Sara
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 383-426
Persistent link: https://www.econbiz.de/10012499741
Saved in:
30
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno
;
Tan, Xiaolu
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 505-528
Persistent link: https://www.econbiz.de/10012585984
Saved in:
31
Towards a Δ-Gamma Sato multivariate model
Boen, Lynn
;
Guillaume, Florence
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012229781
Saved in:
32
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.
;
Pergamenshchikov, Serguei
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
Saved in:
33
An incomplete equilibrium with a stochastic annuity
Weston, Kim
;
Žitković, Gordan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 359-382
Persistent link: https://www.econbiz.de/10012253358
Saved in:
34
Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis
;
Kim, Donghan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
Saved in:
35
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
Saved in:
36
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
Saved in:
37
Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko
;
Kevkhishvili, Rusudan
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 795-825
Persistent link: https://www.econbiz.de/10012518100
Saved in:
38
Filtration shrinkage, the structure of deflators, and failure of market completeness
Kardaras, Constantinos
;
Ruf, Johannes
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 871-901
Persistent link: https://www.econbiz.de/10012518123
Saved in:
39
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
Saved in:
40
The Leland-Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew
;
Pérez, José Luis
;
Budhi Arta Surya
; …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 1035-1082
Persistent link: https://www.econbiz.de/10012518151
Saved in:
41
Utility maximisation in a factor model with constant and proportional transaction costs
Belak, Christoph
;
Christensen, Sören
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 29-96
Persistent link: https://www.econbiz.de/10012023241
Saved in:
42
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Hefter, Mario
;
Jentzen, Arnulf
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10012023704
Saved in:
43
An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior
Chong, Wing Fung
;
Hu, Ying
;
Liang, Gechun
; …
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 239-273
Persistent link: https://www.econbiz.de/10012023715
Saved in:
44
Incorporating signals into optimal trading
Lehalle, Charles-Albert
;
Neuman, Eyal
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 275-311
Persistent link: https://www.econbiz.de/10012023738
Saved in:
45
Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
Saved in:
46
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
47
Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich
;
Xia, Xiaonyu
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
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48
Forward transition rates
Buchardt, Kristian
;
Furrer, Christian
;
Steffensen, Mogens
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
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49
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
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50
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
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