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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
Kōnstantinidēs, Giōrgos; Zariphopoulou-Souganidis, … - In: Finance and stochastics 3 (1999) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10001389116
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and stochastics 8 (2004) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10001910658