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Linear estimation and stochastic control

Davis, Mark H. A. - 1977 - 1. publ.

Persistent link: https://www.econbiz.de/10000089406

Stock index futures markets : stochastic volatility models and smiles

Tompkins, Robert G. - In: The journal of futures markets 21 (2001) 1, pp. 43-78

Persistent link: https://www.econbiz.de/10001537233

Asymptotic theory of transaction costs

Schachermayer, Walter - 2017

Persistent link: https://www.econbiz.de/10011763489

Arbitrage-free interpolation of the swap curve

Davis, Mark H. A.; Mataix-Pastor, Vicente - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 969-1005

Persistent link: https://www.econbiz.de/10003928772

Jump-diffusion asset-liabilty management via risk-sensitive control

Davis, Mark H. A.; Lleo, Sébastien - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 655-675

Persistent link: https://www.econbiz.de/10011296728

Arbitrage-Free Interpolation of the Swap Curve

Davis, Mark H. A. - 2009

We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model....

Persistent link: https://www.econbiz.de/10013153474

Debiased expert forecasts in continuous-time asset allocation

Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012226106

Asymptotic arbitrage and large deviations

Föllmer, Hans; Schachermayer, Walter - In: Mathematics and financial economics 1 (2008) 3/4, pp. 213-249

Persistent link: https://www.econbiz.de/10003722526

Shadow prices for continuous processes

Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 623-658

Persistent link: https://www.econbiz.de/10011764961

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011945647