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Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; … - In: Finance and stochastics 28 (2024) 2, pp. 453-495
Persistent link: https://www.econbiz.de/10015130335
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Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying; Ma, Chunhua; Scotti, Simone - In: Finance and stochastics 21 (2017) 3, pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
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Optimal reduction of public debt under partial observation of the economic growth
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio - In: Finance and stochastics 24 (2020) 4, pp. 1083-1132
Persistent link: https://www.econbiz.de/10012518165
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An exact analytical solution for discrete barrier options
Fusai, Gianluca; Abrahams, I.David; Sgarra, Carlo - In: Finance and stochastics 10 (2006) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008222879
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An exact analytical solution for discrete barrier options
Fusai, Gianluca; Abrahams, I. David; Sgarra, Carlo - In: Finance and stochastics 10 (2006) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003234939
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A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076
Persistent link: https://www.econbiz.de/10015130552