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Insider trading equilibrium in a market with memory
Biagini, Francesa; Hu, Yaozhong; Meyer-Brandis, Thilo; … - In: Mathematics and financial economics 6 (2012) 3, pp. 229-247
Persistent link: https://www.econbiz.de/10009624623
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An integrated model for fire sales and default contagion
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, … - In: Mathematics and financial economics 15 (2021) 1, pp. 59-101
Persistent link: https://www.econbiz.de/10012433632
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Systemic optimal risk transfer equilibrium
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre - In: Mathematics and financial economics 15 (2021) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10012500020
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Strongly consistent multivariate conditional risk measures
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor - In: Mathematics and financial economics 12 (2018) 3, pp. 413-444
Persistent link: https://www.econbiz.de/10011963870
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Asymptotic power utility-based pricing and hedging
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
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Cointegration in continuous time for factor models
Benth, Fred Espen; Süss, Andre - In: Mathematics and financial economics 13 (2019) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012055754
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877