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Optimal investment with derivative securities
İlhan, Ayraç; Jonsson, Mattias; Sircar, Ronnie - In: Finance and stochastics 9 (2005) 4, pp. 585-595
Persistent link: https://www.econbiz.de/10003133305
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Financial modeling in a fast mean-reverting stochastic volatility environment
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: Asia-Pacific financial markets 6 (1999) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10001506394
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139