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On a class of optimization problems emerging when hedging with short term futures contracts
Leobacher, Gunther - In: Mathematical methods of operations research 67 (2008) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10003643609
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On modelling and pricing rainfall derivatives with seasonality
Leobacher, Gunther; Ngare, Philip - In: Applied mathematical finance 18 (2011) 1/2, pp. 71-91
Persistent link: https://www.econbiz.de/10009154421
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Approximation methods for piecewise deterministic Markov processes and their costs
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; … - In: Scandinavian actuarial journal 2019 (2019) 4, pp. 308-335
Persistent link: https://www.econbiz.de/10012194953
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Change of drift in one-dimensional diffusions
Desmettre, Sascha; Leobacher, Gunther; Rogers, Leonard C. G. - In: Finance and stochastics 25 (2021) 2, pp. 359-381
Persistent link: https://www.econbiz.de/10012499738