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~subject:"Option pricing theory"
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Option pricing theory
Theorie
37
Theory
36
Portfolio selection
26
Portfolio-Management
26
Credit risk
20
Kreditrisiko
18
Markov chain
13
Markov-Kette
13
Derivat
11
Derivative
11
Credit derivative
10
Kreditderivat
10
Optionspreistheorie
10
Hedging
9
Dynamische Optimierung
7
Risikomanagement
7
Risk management
7
Transaction costs
7
Transaktionskosten
7
Dynamic programming
6
Risikomaß
6
Risk measure
6
Stochastic process
6
Stochastischer Prozess
6
Asset-Backed Securities
5
Asset-backed securities
5
CAPM
5
Risiko
5
Risk
5
Financial economics
4
Insolvency
4
Insolvenz
4
Kapitalmarkttheorie
4
Kreditgeschäft
4
USA
4
United States
4
transaction costs
4
Arbitrage Pricing
3
Arbitrage pricing
3
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Article
8
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5
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3
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3
Collection of articles of several authors
1
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1
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1
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English
10
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Bielecki, Tomasz R.
7
Jeanblanc, Monique
4
Pliska, Stanley R.
4
Rutkowski, Marek
3
Duan, Jin-Chuan
2
Cialenco, Igor
1
Crépey, S.
1
Crépey, Stéphane
1
Geman, Hélyette
1
Iyigunler, Ismail
1
Jin, Hanqing
1
Madan, Dilip B.
1
Rodriguez, Rodrigo
1
Vorst, Ton
1
Zargari, B.
1
Zhou, Xun Yu
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Bachelier Finance Society
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International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Springer finance
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Indifference pricing : theory and applications
1
Journal of economic dynamics & control
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
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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:
2
Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.
;
Rutkowski, Marek
-
2002
Persistent link: https://www.econbiz.de/10001621020
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
Geman, Hélyette
(
contributor
);
Madan, Dilip B.
(
contributor
)
-
2002
Persistent link: https://www.econbiz.de/10001597059
Saved in:
9
Option pricing for co-integrated assets
Duan, Jin-Chuan
;
Pliska, Stanley R.
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 85-99)
.
2002
Persistent link: https://www.econbiz.de/10001672222
Saved in:
10
Option valuation with co.integrated asset prices
Duan, Jin-Chuan
;
Pliska, Stanley R.
- In:
Journal of economic dynamics & control
28
(
2004
)
4
,
pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
Saved in:
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