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Optimal market making under partial information with general intensities
Campi, Luciano; Zabaljauregui, Diego - In: Applied mathematical finance 27 (2020) 1/2, pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-170
Persistent link: https://www.econbiz.de/10008221848
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Variance-Optimal Hedging for Time-Changed Levy Processes
Kallsen, Jan; Pauwels, Arnd - In: Applied mathematical finance 18 (2011) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10008844203
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Variance-optimal hedging for time-changed Lévy processes
Kallsen, Jan; Pauwels, Arnd Philipp - In: Applied mathematical finance 18 (2011) 1/2, pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
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A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10003542981