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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 (2009) 1, pp. 81-129
Persistent link: https://www.econbiz.de/10008445239
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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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Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
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Dynamic trading under integer constraints
Gerhold, Stefan; Krühner, Paul - In: Finance and stochastics 22 (2018) 4, pp. 919-957
Persistent link: https://www.econbiz.de/10011946587