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Optimization of consumption with labor income
El Karoui, Nicole - In: Finance and stochastics 2 (1998) 4, pp. 409-440
Persistent link: https://www.econbiz.de/10001247133
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Inf-convolution of risk measures and optimal risk transfer
Barrieu, Pauline; El Karoui, Nicole - In: Finance and stochastics 9 (2005) 2, pp. 269-298
Persistent link: https://www.econbiz.de/10002747208
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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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Existence and structure of stochastic equilibria with intertemporal substitution
Bank, Peter; Riedel, Frank - In: Finance and stochastics 5 (2001) 4, pp. 487-509
Persistent link: https://www.econbiz.de/10001614604
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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Superreplication when trading at market indifference prices
Bank, Peter; Gökay, Selim - In: Finance and stochastics 20 (2016) 1, pp. 153-182
Persistent link: https://www.econbiz.de/10011460049
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The scaling limit of superreplication prices with small transaction costs in the multivariate case
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka - In: Finance and stochastics 21 (2017) 2, pp. 487-508
Persistent link: https://www.econbiz.de/10011944401
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Stein’s method and zero bias transformation for CDO tranche pricing
El Karoui, N.; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10008211982
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Existence and structure of stochastic equilibria with intertemporal substitution
Bank, Peter; Riedel, Frank - In: Finance and stochastics 5 (2001) 4, pp. 487-510
Persistent link: https://www.econbiz.de/10008216791
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Inf-convolution of risk measures and optimal risk transfer
Barrieu, Pauline; El Karoui, Nicole - In: Finance and stochastics 9 (2005) 2, pp. 269
Persistent link: https://www.econbiz.de/10008214420