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Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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Portfolio optimization in affine models with Markov switching
Escobar, Marcos; Neykova, Daniela; Zagst, Rudi - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-46
Persistent link: https://www.econbiz.de/10011403855
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Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33
Persistent link: https://www.econbiz.de/10012496902