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Mathematical finance : an international journal of mathematics, statistics and financial theory
European journal of operational research : EJOR
214
Journal of econometrics
116
Operations research letters
85
Economic modelling
80
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1
Multivariate subordination of Markov processes with financial applications
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 699-747
Persistent link: https://www.econbiz.de/10011583791
Saved in:
2
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Nisen, Jeffrey
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 250-288
Persistent link: https://www.econbiz.de/10010357375
Saved in:
3
Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino
;
Figueroa-López, José E.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
Saved in:
4
Continuously monitored barrier options under Markov processes
Mijatovi´c, Aleksandar
;
Pistorius, Martijn
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10009712564
Saved in:
5
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
6
MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.
;
Li, Haitao
;
Wells, Martin T.
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
Saved in:
7
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
Saved in:
8
The dependence structure of running maxima and minima : results and option pricing applications
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 35-58
Persistent link: https://www.econbiz.de/10003955657
Saved in:
9
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
10
Portofolio optimization with jumps and unobservable intensity process
Bäuerle, Nicole
;
Rieder, Ulrich
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10003543121
Saved in:
11
Markowitz's portfolio optimization in an incomplete market
Xia, Jianming
;
Yan, Jia-an
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 203-216
Persistent link: https://www.econbiz.de/10003336872
Saved in:
12
No arbitrage under transaction costs, with fractional Brownian motion and beyond
Guasoni, Paolo
- In:
Mathematical finance : an international journal of …
16
(
2006
)
3
,
pp. 569-582
Persistent link: https://www.econbiz.de/10003338701
Saved in:
13
Quadratic term structure models for risk-free and defaultable rates
Chen, Li
;
Filipović, Damir
;
Poor, H. Vincent
- In:
Mathematical finance : an international journal of …
14
(
2004
)
4
,
pp. 515-536
Persistent link: https://www.econbiz.de/10002396345
Saved in:
14
A partially observed model for micromovement of asset prices with Bayes estimation via filtering
Zeng, Yong
- In:
Mathematical finance : an international journal of …
13
(
2003
)
3
,
pp. 411-444
Persistent link: https://www.econbiz.de/10001782290
Saved in:
15
A comparison of two quadratic approaches to hedging in incomplete markets
Heath, David C.
;
Platen, Eckhard
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
Saved in:
16
On the existence of finite-dimensional realizations for nonlinear forward rate models
Björk, Tomas
;
Svensson, Lars E. O.
- In:
Mathematical finance : an international journal of …
11
(
2001
)
2
,
pp. 205-243
Persistent link: https://www.econbiz.de/10001650926
Saved in:
17
Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
Israel, Robert B.
;
Rosenthal, Jeffrey S.
;
Wei, Jason
- In:
Mathematical finance : an international journal of …
11
(
2001
)
2
,
pp. 245-265
Persistent link: https://www.econbiz.de/10001650927
Saved in:
18
Multiple ratings model of defaultable term structure
Bielecki, Tomasz R.
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 125-139
Persistent link: https://www.econbiz.de/10002177192
Saved in:
19
Term structure models driven by general Lévy processes
Eberlein, Ernst
;
Raible, Sebastian
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 31-53
Persistent link: https://www.econbiz.de/10001363481
Saved in:
20
Ergodicity, state prices, and long bond returns
Tessitore, Anthony
- In:
Mathematical finance : an international journal of …
8
(
1998
)
1
,
pp. 85-91
Persistent link: https://www.econbiz.de/10001240795
Saved in:
21
Monotonicities in a Markov chain model for valuing corporate bonds subject to credit risk
Kijima, Masaaki
- In:
Mathematical finance : an international journal of …
8
(
1998
)
3
,
pp. 229-247
Persistent link: https://www.econbiz.de/10001245921
Saved in:
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