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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-575

Persistent link: https://www.econbiz.de/10003133280

Limmer, Yannick; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-19

Persistent link: https://www.econbiz.de/10012887441

Insider trading equilibrium in a market with memory

Biagini, Francesa; Hu, Yaozhong; Meyer-Brandis, Thilo; … - In: Mathematics and financial economics 6 (2012) 3, pp. 229-247

Persistent link: https://www.econbiz.de/10009624623

On the existence and uniqueness of Glosten-Milgrom price processes

Riedel, Matthias - 2013

We study the price-setting problem of market makers under perfect competition in continuous time. Thereby we follow the classic Glosten-Milgrom model that defines bid and ask prices as the expectation of a true value of the asset given the market makers partial information that includes the...

Persistent link: https://www.econbiz.de/10010408626

Local risk-minimization with multiple assets under illiquidity with applications in energy markets

Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10011891849

On fairness of systemic risk measures

Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; … - In: Finance and stochastics 24 (2020) 2, pp. 513-564

Persistent link: https://www.econbiz.de/10012253395

An integrated model for fire sales and default contagion

Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, … - In: Mathematics and financial economics 15 (2021) 1, pp. 59-101

Persistent link: https://www.econbiz.de/10012433632

Systemic optimal risk transfer equilibrium

Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre - In: Mathematics and financial economics 15 (2021) 2, pp. 233-274

Persistent link: https://www.econbiz.de/10012500020

Strongly consistent multivariate conditional risk measures

Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor - In: Mathematics and financial economics 12 (2018) 3, pp. 413-444

Persistent link: https://www.econbiz.de/10011963870

Option theory with stochastic analysis : an introduction to mathematical finance

Benth, Fred Espen - 2004

Persistent link: https://www.econbiz.de/10001786485