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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
Campi, Luciano
;
Çetin, Umut
- In:
Finance and stochastics
11
(
2007
)
4
,
pp. 591-602
Persistent link: https://www.econbiz.de/10008221666
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2
Equilibrium model with default and dynamic insider information
Campi, Luciano
;
Çetin, Umut
;
Danilova, Albina
- In:
Finance and stochastics
17
(
2013
)
3
,
pp. 565-585
Persistent link: https://www.econbiz.de/10010131738
Saved in:
3
A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
Aïd, René
;
Campi, Luciano
;
Langrené, Nicolas
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 387-438
Persistent link: https://www.econbiz.de/10010131898
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4
On the existence of shadow prices
Benedetti, Giuseppe
;
Campi, Luciano
;
Kallsen, Jan
; …
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 801-818
Persistent link: https://www.econbiz.de/10010183831
Saved in:
5
Systematic equity-based credit risk: A CEV model with jump to default
Campi, Luciano
;
Polbennikov, Simon
;
Sbuelz, Alessandro
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 93-108
Persistent link: https://www.econbiz.de/10008162054
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6
Multivariate utility maximization with proportional transaction costs
Campi, Luciano
;
Owen, Mark P.
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 461-500
Persistent link: https://www.econbiz.de/10009262461
Saved in:
7
Systematic equity-based credit risk: A CEV model with jump to default
Campi, Luciano
;
Polbennikov, Simon
;
Sbuelz, Alessandro
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 93-109
Persistent link: https://www.econbiz.de/10008890138
Saved in:
8
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Hubalek, Friedrich
;
Schachermayer, Walter
- In:
Insurance / Mathematics & economics
34
(
2004
)
2
,
pp. 193-226
Persistent link: https://www.econbiz.de/10006882822
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9
Arbitrage and state price deflators in a general intertemporal framework
Jouini, Elyès
;
Napp, Clotilde
;
Schachermayer, Walter
- In:
Journal of mathematical economics
41
(
2005
)
6
,
pp. 722-734
Persistent link: https://www.econbiz.de/10006015331
Saved in:
10
ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
Hugonnier, Julien
;
Kramkov, Dmitry
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 203-212
Persistent link: https://www.econbiz.de/10008214496
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