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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
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A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. - In: Finance and stochastics 27 (2023) 4, pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
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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
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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
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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
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A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Hata, Hiroaki; Iida, Yasunari - In: Finance and stochastics 10 (2006) 3, pp. 395-426
Persistent link: https://www.econbiz.de/10003380023
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - In: Finance and stochastics 27 (2023) 3, pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
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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
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A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno; Tan, Xiaolu - In: Finance and stochastics 25 (2021) 3, pp. 505-528
Persistent link: https://www.econbiz.de/10012585984
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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