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~subject:"Option pricing theory"
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Option pricing theory
Theorie
44
Theory
44
Credit risk
34
Kreditrisiko
32
Optionspreistheorie
25
Portfolio selection
25
Portfolio-Management
25
Derivat
16
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16
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16
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13
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13
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13
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12
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10
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Interest rate derivative
5
Zinsderivat
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Arbitrage Pricing
4
Arbitrage pricing
4
Asset-Backed Securities
4
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4
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4
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13
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English
23
Author
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Rutkowski, Marek
19
Bielecki, Tomasz R.
7
Jeanblanc, Monique
4
Brigo, Damiano
3
Ahlip, Rehez
2
Buescu, Cristin
2
Musiela, Marek
2
Ahlip, Rehez Ajmal
1
Armstrong, Anthony
1
Bickersteth, Matthew
1
Buescu, C.
1
Cialenco, Igor
1
Crépey, S.
1
Crépey, Stéphane
1
Francischello, Marco
1
Guo, Ivan
1
Iyigunler, Ismail
1
Jin, Hanqing
1
Li, Libo
1
Pallavicini, Andrea
1
Pliska, Stanley R.
1
ROPER, MICHAEL
1
Rodriguez, Rodrigo
1
Roper, Michael
1
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1
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International journal of theoretical and applied finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Finance and stochastics
2
Applied mathematical finance
1
Indifference pricing : theory and applications
1
Operations research letters
1
Springer finance
1
Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6 - 12, 2003
1
Stochastic modelling and applied probability
1
The European journal of finance
1
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ECONIS (ZBW)
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Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
2
Modeling and valuation of credit risk
Bielecki, Tomasz R.
;
Jeanblanc, Monique
;
Rutkowski, Marek
- In:
Stochastic methods in finance : lectures given at the …
,
(pp. 27-126)
.
2004
Persistent link: https://www.econbiz.de/10002526431
Saved in:
3
Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.
;
Rutkowski, Marek
-
2002
Persistent link: https://www.econbiz.de/10001621020
Saved in:
4
The early exercise premium representation of foreign market American options
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
4
(
1994
)
4
,
pp. 313-325
Persistent link: https://www.econbiz.de/10001185081
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5
Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.
;
Jin, Hanqing
;
Pliska, Stanley R.
; …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 213-244
Persistent link: https://www.econbiz.de/10002725425
Saved in:
6
Indifference pricing of defaultable claims
Bielecki, Tomasz R.
;
Jeanblanc, Monique
- In:
Indifference pricing : theory and applications
,
(pp. 211-240)
.
2009
Persistent link: https://www.econbiz.de/10003807588
Saved in:
7
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
8
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
Saved in:
9
Continuous-time term structure models : forward measure approach
Musiela, Marek
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
Saved in:
10
Martingale methods in financial modelling
Musiela, Marek
;
Rutkowski, Marek
-
2005
-
2. ed
Persistent link: https://www.econbiz.de/10001928235
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