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ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
Gulisashvili, Archil; Stein, EliasM. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-478
Persistent link: https://www.econbiz.de/10008425297
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IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 303-328
Persistent link: https://www.econbiz.de/10008227527
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Portfolio insurance under a risk-measure constraint
De Franco, Carmine; Tankov, Peter - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 361-371
Persistent link: https://www.econbiz.de/10009807363
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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Cont, Rama; Tankov, Peter - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 379-402
Persistent link: https://www.econbiz.de/10008270133
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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-628
Persistent link: https://www.econbiz.de/10008103928
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Optimal consumption policies in illiquid markets
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - In: Finance and stochastics 15 (2011) 1, pp. 85-116
Persistent link: https://www.econbiz.de/10008785538
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Pricing and hedging gap risk
Tankov, Peter - In: The journal of computational finance 13 (2010) 3, pp. 33-61
Persistent link: https://www.econbiz.de/10008403084