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Entropy Coherent and Entropy Convex Measures of Risk
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 38 (2013) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10010116423
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Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach
Stadje, Mitja - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 391-405
Persistent link: https://www.econbiz.de/10008717970
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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-234
Persistent link: https://www.econbiz.de/10007905830
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Optimal dividend distribution under Markov regime switching
Jiang, Zhengjun; Pistorius, Martijn - In: Finance and stochastics 16 (2012) 3, pp. 449-477
Persistent link: https://www.econbiz.de/10009983146
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CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
Mijatović, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10010063812
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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-235
Persistent link: https://www.econbiz.de/10008886700
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Average Rate Claims with Emphasis on Catastrophe Loss Options
Bakshi, Gurdip; Madan, Dilip - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 1, pp. 93-116
Persistent link: https://www.econbiz.de/10006695845
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A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
Madan, Dilip; Unal, Haluk - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10006698426
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Option Pricing Using the Term Structure of Interest Rates to Hedge Systematic Discontinuities in Asset Returns
Jarrow, Robert; Madan, Dilip - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336
Persistent link: https://www.econbiz.de/10008223457
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Pricing the risk of recovery in default with absolute priority rule violation
Unal, Haluk; Madan, Dilip; Güntay, Levent - In: Journal of banking & finance 27 (2003) 6, pp. 1001-1026
Persistent link: https://www.econbiz.de/10005887031