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Finance and stochastics
European journal of operational research : EJOR
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1
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:
2
Bubbles in discrete-time models
Herdegen, Martin
;
Kreher, Dörte
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 899-925
Persistent link: https://www.econbiz.de/10013440256
Saved in:
3
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:
4
Markov decision processes with quasi-hyperbolic discounting
Jaśkiewicz, Anna
;
Nowak, Andrzej S.
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 189-229
Persistent link: https://www.econbiz.de/10012499682
Saved in:
5
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:
6
Regime switching affine processes with applications to finance
Beek, Misha van
;
Mandjes, Michel
;
Spreij, Peter
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
Saved in:
7
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
Saved in:
8
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
Brzeźniak, Zdzisław
;
Kok, Tayfun
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 959-1006
Persistent link: https://www.econbiz.de/10011946590
Saved in:
9
Additive subordination and its applications in finance
Li, Jing
;
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
Saved in:
10
Facelifting in utility maximization
Larsen, Kasper
;
Soner, Halil Mete
;
Žitković, Gordan
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
Saved in:
11
Dynamic credit investment in partially observed markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Pascucci, …
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
Saved in:
12
A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas
;
Murgoci, Agatha
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
Saved in:
13
Optimal dividend distribution under Markov regime switching
Jiang, Zhengjun
;
Pistorius, Martijn
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 449-476
Persistent link: https://www.econbiz.de/10009562303
Saved in:
14
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger
;
Schmidt, Thorsten
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 105-133
Persistent link: https://www.econbiz.de/10009423247
Saved in:
15
Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
Saved in:
16
Perturbed Brownian motion and its application to Parisian option pricing
Dassios, Angelos
;
Wu, Shanle
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 473-494
Persistent link: https://www.econbiz.de/10009533860
Saved in:
17
MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole
;
Rieder, Ulrich
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
Saved in:
18
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Keller-Ressel, Martin
;
Steiner, Thomas
- In:
Finance and stochastics
12
(
2008
)
2
,
pp. 149-172
Persistent link: https://www.econbiz.de/10003716240
Saved in:
19
Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud
- In:
Finance and stochastics
11
(
2007
)
4
,
pp. 495-519
Persistent link: https://www.econbiz.de/10003645519
Saved in:
20
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa
;
León, Jorge A.
;
Vives, Josep
- In:
Finance and stochastics
11
(
2007
)
4
,
pp. 571-589
Persistent link: https://www.econbiz.de/10003645538
Saved in:
21
Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.
;
Osakwe, Carlton-James U.
- In:
Finance and stochastics
10
(
2006
)
2
,
pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
Saved in:
22
Representation formulas for Malliavin derivatives of diffusion processes
Detemple, Jérôme B.
;
Garcia, René
;
Rindisbacher, Marcel
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 349-367
Persistent link: https://www.econbiz.de/10002946698
Saved in:
23
Anomalous PDEs in Markov chains : domains of validity and numerical solutions
Norberg, Ragnar
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 519-537
Persistent link: https://www.econbiz.de/10003133253
Saved in:
24
A simple model for credit migration and spread curves
Chen, Li
;
Filipović, Damir
- In:
Finance and stochastics
9
(
2005
)
2
,
pp. 211-231
Persistent link: https://www.econbiz.de/10002747172
Saved in:
25
Optimizing the terminal wealth under partial information : the drift process as a continuous time markov chain
Sass, Jörn
;
Haussmann, Ulrich G.
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 553-577
Persistent link: https://www.econbiz.de/10002261492
Saved in:
26
A link between complete models with stochastic volatility and ARCH models
Jeantheau, Thierry
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 111-131
Persistent link: https://www.econbiz.de/10001910769
Saved in:
27
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos
;
Jang, Ji-Wook
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 73-95
Persistent link: https://www.econbiz.de/10001724642
Saved in:
28
Random step functions model for interest rates
Borovkov, Konstantin
;
Klebaner, Fima C.
;
Virag, Eleanor
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 123-143
Persistent link: https://www.econbiz.de/10001724648
Saved in:
29
A general characterization of one factor affine term structure models
Filipović, Damir
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10001599299
Saved in:
30
Risk-minimizing hedging strategies for insurance payment processes
Møller, Thomas
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 419-446
Persistent link: https://www.econbiz.de/10001614592
Saved in:
31
Bond pricing in a hidden Markov model of the short rate
Landén, Camilla
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 371-389
Persistent link: https://www.econbiz.de/10001538315
Saved in:
32
A note on the forward measure
Davis, Mark
- In:
Finance and stochastics
2
(
1998
)
1
,
pp. 19-28
Persistent link: https://www.econbiz.de/10001230162
Saved in:
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