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~subject:"Stochastic process"
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Stochastic process
Theorie
55
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55
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27
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26
Portfolio-Management
21
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20
Asset and Liability Management
15
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15
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15
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15
Risk Sensitive Control
15
Stochastic Control
15
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15
Transaction costs
14
Transaktionskosten
13
Stochastischer Prozess
10
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9
Finanzmathematik
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Martingal
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Volatilität
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Incomplete market
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Davis, Mark H. A.
5
Schachermayer, Walter
4
Lleo, Sébastien
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Beiglböck, Mathias
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Czichowsky, Christoph
1
Davis, M. H. A.
1
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1
Lowther, George
1
Mataix-Pastor, Vicente
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Peyre, Rémi
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Finance and stochastics
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1
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
Saved in:
2
Model-free methods in valuation and hedging of derivative securities
Davis, Mark H. A.
- In:
The handbook of post crisis financial modelling
,
(pp. 168-189)
.
2016
Persistent link: https://www.econbiz.de/10011475750
Saved in:
3
Asymptotic theory of transaction costs
Schachermayer, Walter
-
2017
Persistent link: https://www.econbiz.de/10011763489
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4
Linear estimation and stochastic control
Davis, Mark H. A.
-
1977
-
1. publ.
Persistent link: https://www.econbiz.de/10000089406
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5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias
;
Lowther, George
;
Pammer, Gudmund
; …
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
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