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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
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Optimal portfolios for exponential Lévy processes
Kallsen, Jan - In: Mathematical methods of operations research 51 (2000) 3, pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
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A utility maximization approach to hedging in incomplete markets
Kallsen, Jan - In: Mathematical methods of operations research 50 (1999) 2, pp. 321-338
Persistent link: https://www.econbiz.de/10001428821
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Utility-based derivative pricing in incomplete markets
Kallsen, Jan - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 313-338). 2002
Persistent link: https://www.econbiz.de/10001679455
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Derivative pricing based on local utility maximization
Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115-140
Persistent link: https://www.econbiz.de/10001643758
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Large platonic markets with delays
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
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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
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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
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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
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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