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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Portfolio optimization under convex incentive schemes
Bichuch, Maxim; Sturm, Stephan - In: Finance and stochastics 18 (2014) 4, pp. 873-915
Persistent link: https://www.econbiz.de/10010416186
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Optimal investment with derivative securities
Ílhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie - In: Finance and stochastics 9 (2005) 4, pp. 585-596
Persistent link: https://www.econbiz.de/10008214147
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Maturity cycles in implied volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: Finance and stochastics 8 (2004) 4, pp. 451-478
Persistent link: https://www.econbiz.de/10008223285
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Optimal investment with derivative securities
İlhan, Ayraç; Jonsson, Mattias; Sircar, Ronnie - In: Finance and stochastics 9 (2005) 4, pp. 585-595
Persistent link: https://www.econbiz.de/10003133305
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Maturity cycles in implied volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: Finance and stochastics 8 (2004) 4, pp. 451-477
Persistent link: https://www.econbiz.de/10002261414
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139