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Optimal portfolio liquidation in target zone models and catalytic superprocesses
Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509
Persistent link: https://www.econbiz.de/10011471483
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A simple regime switching term structure model
Hansen, Asbjørn Trolle; Poulsen, Rolf - In: Finance and stochastics 4 (2000) 4, pp. 409-429
Persistent link: https://www.econbiz.de/10001539190
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A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 5 (2001) 3, pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
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Optimal investment in derivative securities
Carr, Peter; Jin, Xing; Madan, Dilip B. - In: Finance and stochastics 5 (2001) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001553046
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A note on the forward measure
Davis, Mark - In: Finance and stochastics 2 (1998) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001230162
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Local martingales, bubbles and option prices
Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Ansari, Jonathan; Lütkebohmert, Eva; Neufeld, Ariel; … - In: Finance and stochastics 28 (2024) 4, pp. 911-964
Persistent link: https://www.econbiz.de/10015130470
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Polynomial approximation of discounted moments
Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - In: Finance and stochastics 29 (2025) 1, pp. 63-95
Persistent link: https://www.econbiz.de/10015394774
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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and stochastics 15 (2011) 3, pp. 513-540
Persistent link: https://www.econbiz.de/10009303137