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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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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2011) 1, pp. 105-134
Persistent link: https://www.econbiz.de/10009810441
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133
Persistent link: https://www.econbiz.de/10009423247
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Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; … - In: Finance and stochastics 24 (2020) 2, pp. 465-511
Persistent link: https://www.econbiz.de/10012253393