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Defaultable claims in switching models with partial information
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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American options and incomplete information
Ekström, Erik; Vannestål, Martin - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-14
Persistent link: https://www.econbiz.de/10012153092
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An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
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Portfolio optimization under partial information with expert opinions
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
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Optimal portfolio construction under partial information for a balanced fund
Keel, Simon; Herzog, Florian; Geering, Hans Peter; … - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 1015-1042
Persistent link: https://www.econbiz.de/10003630993
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Performance analysis of the optimal strategy under partial information
Bel Hadj Ayed, Ahmed; Loeper, Grégoire; El Aoud, Sofiene; … - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011686856
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Pairs trading under drift uncertainty and risk penalization
Altay, Sühan; Colaneri, Katia; Eksi-Altay, Zehra - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-24
Persistent link: https://www.econbiz.de/10011956923
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Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier; Momeya, Romuald - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
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On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii; Melʹnikov, Aleksandr V.; Mišura, … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011734050