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Portfolio optimisation with jumps : illustration with a pension accumulation scheme
Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137
Persistent link: https://www.econbiz.de/10011544926
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
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Strategic technology adoption and hedging under incomplete markets
Leippold, Markus; Stromberg, Jacob - In: Journal of banking & finance 81 (2017), pp. 181-199
Persistent link: https://www.econbiz.de/10011816440
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Option-implied objective measures of market risk
Leiss, Matthias; Nax, Heinrich H. - In: Journal of banking & finance 88 (2018), pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Private equity and regulatory capital
Bongaerts, Dion; Charlier, Erwin - In: Journal of banking & finance 33 (2009) 7, pp. 1211-1220
Persistent link: https://www.econbiz.de/10003842250
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Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach
Perrakis, Stylianos; Boloorforoosh, Ali - In: Journal of banking & finance 37 (2013) 8, pp. 3157-3168
Persistent link: https://www.econbiz.de/10009778483