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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
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277
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ECONIS (ZBW)
80
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1
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
2
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin
;
Karpathopoulos, Nikolaos
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
Saved in:
3
Large platonic markets with delays
Limmer, Yannick
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012887441
Saved in:
4
Markowitz portfolio and the blur of history
Ng, Chi Tim
;
Shi, Yue
;
Chan, Ngai Hang
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012496534
Saved in:
5
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
6
Upside beta ratio : a performance measure for potential-seeking investors
Mondal, Dipankar
;
Selvaraju, N.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012270941
Saved in:
7
Determination of the Lévy exponent in asset pricing models
Bouzianis, George
;
Hughston, Lane P.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
Saved in:
8
Equilibrium asset returns in financial markets
Madan, Dilip B.
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012013852
Saved in:
9
Global and regional risks in currency returns
Rendon, Jairo A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012183303
Saved in:
10
The fundamental theorems of asset pricing and the closed-end fund puzzle
Frahm, Gabriel
;
Jonen, Alexander
;
Schüssler, Rainer
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012153033
Saved in:
11
Option pricing with heavy-tailed distributions of logarithmic returns
Basnarkov, Lasko
;
Stojkoski, Viktor
;
Utkovski, Zoran
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012153313
Saved in:
12
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
13
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
Saved in:
14
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
15
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Saved in:
16
Good deal bounds with convex constraints
Arai, Takuji
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011686844
Saved in:
17
Equilibrium equity price with optimal dividend policy
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011686852
Saved in:
18
Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
Saved in:
19
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
20
Derivative pricing with collateralization and FX market dislocations
Moreni, Nicola
;
Pallavicini, Andrea
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734332
Saved in:
21
A CAPM with trading constraints and price bubbles
Jarrow, Robert A.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011787473
Saved in:
22
An explicit implied volatiltiy formula
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011763940
Saved in:
23
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej
;
Muchorski, Rafał
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Saved in:
24
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
25
Pricing and valuation under the real-world measure
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011453878
Saved in:
26
Bubbles and multiple-factor asset pricing models
Jarrow, Robert A.
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011453887
Saved in:
27
On optimal strategies for utility maximizers in the arbitrage pricing model
Rásonyi, Miklós
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011568831
Saved in:
28
Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique
;
Leniec, Marta
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
Saved in:
29
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Saved in:
30
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
31
Heat kernel models for asset pricing
Macrina, Andrea
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
Saved in:
32
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
33
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
Saved in:
34
Resilient price impact of trading and the cost of illiquidity
Roch, Alexandre
;
Soner, Halil Mete
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010197179
Saved in:
35
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
36
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
Saved in:
37
A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
Saved in:
38
Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz
;
Uzunashvili, T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
Saved in:
39
Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment
Meinerding, Christoph
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009624488
Saved in:
40
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Saved in:
41
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
42
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An
;
Sandmann, Klaus
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Saved in:
43
Risk premia and optimal liquidation of credit derivatives
Leung, Tim
;
Liu, Peng
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
Saved in:
44
Utility maximization with intermediate consumption under restricted information for jump market models
Ceci, Claudia
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009672596
Saved in:
45
The minimal k-entropy martingale measure
Trivellato, Barbara
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
Saved in:
46
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
Saved in:
47
Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009685882
Saved in:
48
The compatible bond-stock market with jumps
Xiong, Dewen
;
Kohlmann, Michael
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 723-755
Persistent link: https://www.econbiz.de/10009298440
Saved in:
49
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
50
Fixed-mix rules in an evolutionary market using a factor model for dividends
Mavroudis, Konstantinos
;
Nolder, Craig A.
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1247-1277
Persistent link: https://www.econbiz.de/10009541997
Saved in:
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