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Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
Kaji, S.; Kotani, Shinichi - In: Finance and stochastics 16 (2012) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10009423257
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 3, pp. 275-303
Persistent link: https://www.econbiz.de/10001599263
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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Finance and stochastics 5 (2001) 4, pp. 447-467
Persistent link: https://www.econbiz.de/10001614597
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A note on the large homogeneous portfolio approximation with the student-t copula
Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584
Persistent link: https://www.econbiz.de/10003133291
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A generalization of Panjer's recursion and numerically stable risk aggregation
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard - In: Finance and stochastics 14 (2010) 1, pp. 81-128
Persistent link: https://www.econbiz.de/10003924803
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Asymptotic distribution of law-invariant risk functionals
Pflug, Georg; Wozabal, Nancy - In: Finance and stochastics 14 (2010) 3, pp. 397-418
Persistent link: https://www.econbiz.de/10010216490
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A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
Grandits, Peter; Temnov, Grigory - In: Finance and stochastics 14 (2010) 4, pp. 569-591
Persistent link: https://www.econbiz.de/10008823690