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Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
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A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
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Managing corporate liquidity : strategies and pricing implications
Asvanunt, Attakrit; Broadie, Mark; Sundaresan, Suresh M. - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 369-406
Persistent link: https://www.econbiz.de/10009154911
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The effect of jumps and discrete sampling on volatility and variance swaps
Broadie, Mark; Jain, Ashish - In: International journal of theoretical and applied finance 11 (2008) 8, pp. 761-797
Persistent link: https://www.econbiz.de/10003812780
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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840