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Finance and stochastics
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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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2
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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3
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
Saved in:
4
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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5
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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6
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
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7
Second order approximations for limit order books
Horst, Ulrich
;
Kreher, Dörte
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 827-877
Persistent link: https://www.econbiz.de/10011946565
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8
Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich
;
Xia, Xiaonyu
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
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9
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Horst, Ulrich
;
Kivman, Evgueni
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 759-812
Persistent link: https://www.econbiz.de/10015130386
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10
Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan
;
Young, Virginia R.
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 785-819
Persistent link: https://www.econbiz.de/10009805453
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