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When to sell an asset amid anxiety about drawdowns
Rodosthenous, Neofytos; Zhang, Hongzhong - In: Mathematical Finance 30 (2020) 4, pp. 1422-1460
Persistent link: https://www.econbiz.de/10012283205
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Firm capital dynamics in centrally cleared markets
Capponi, Agostino; Cheng, W. Allen; Rajan, Sriram - In: Mathematical Finance 30 (2020) 2, pp. 664-701
Persistent link: https://www.econbiz.de/10012192413
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Robust XVA
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - In: Mathematical Finance 30 (2020) 3, pp. 738-781
Persistent link: https://www.econbiz.de/10012283197
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Credit portfolio selection with decaying contagion intensities
Bo, Lijun; Capponi, Agostino; Chen, Peng‐Chu - In: Mathematical Finance 29 (2018) 1, pp. 137-173
Persistent link: https://www.econbiz.de/10012095149