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Publication search results
found 33 matches
- 2017
- Beatrice Acciaio, Martin Larsson, Walter Schachermayer:
The space of outcomes of semi-static trading strategies need not be closed. Finance Stochastics 21(3): 741-751 (2017) - Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc:
No-arbitrage up to random horizon for quasi-left-continuous models. Finance Stochastics 21(4): 1103-1139 (2017) - Michail Anthropelos, Constantinos Kardaras:
Equilibrium in risk-sharing games. Finance Stochastics 21(3): 815-865 (2017) - Takuji Arai, Yuto Imai, Ryoichi Suzuki:
Local risk-minimization for Barndorff-Nielsen and Shephard models. Finance Stochastics 21(2): 551-592 (2017) - Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö:
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics 21(2): 487-508 (2017) - D. Baños, Thilo Meyer-Brandis, Frank Proske, S. Duedahl:
Computing deltas without derivatives. Finance Stochastics 21(2): 509-549 (2017) - Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel:
Pathwise superreplication via Vovk's outer measure. Finance Stochastics 21(4): 1141-1166 (2017) - Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen:
Hybrid scheme for Brownian semistationary processes. Finance Stochastics 21(4): 931-965 (2017) - Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang:
Risk bounds for factor models. Finance Stochastics 21(3): 631-659 (2017) - Tomas Björk, Mariana Khapko, Agatha Murgoci:
On time-inconsistent stochastic control in continuous time. Finance Stochastics 21(2): 331-360 (2017) - Luciano Campi, Ismail Laachir, Claude Martini:
Change of numeraire in the two-marginals martingale transport problem. Finance Stochastics 21(2): 471-486 (2017) - Zhe Cheng, Scott Robertson:
Endogenous current coupons. Finance Stochastics 21(4): 1027-1071 (2017) - Jaksa Cvitanic, Walter Schachermayer, Hui Wang:
Erratum to: Utility maximization in incomplete markets with random endowment. Finance Stochastics 21(3): 867-872 (2017) - Masahiko Egami, Tadao Oryu:
A direct solution method for pricing options involving the maximum process. Finance Stochastics 21(4): 967-993 (2017) - Michael B. Giles, Yuan Xia:
Multilevel Monte Carlo for exponential Lévy models. Finance Stochastics 21(4): 995-1026 (2017) - Ivan Guo, Marek Rutkowski:
Arbitrage-free pricing of multi-person game claims in discrete time. Finance Stochastics 21(1): 111-155 (2017) - Julien Guyon, Romain Menegaux, Marcel Nutz:
Bounds for VIX futures given S&P 500 smiles. Finance Stochastics 21(3): 593-630 (2017) - Sebastian Herrmann, Johannes Muhle-Karbe:
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance Stochastics 21(4): 873-930 (2017) - Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried:
Hedging with small uncertainty aversion. Finance Stochastics 21(1): 1-64 (2017) - David Hobson, Anthony Neuberger:
Model uncertainty and the pricing of American options. Finance Stochastics 21(1): 285-329 (2017) - Ying Jiao, Olivier Klopfenstein, Peter Tankov:
Hedging under multiple risk constraints. Finance Stochastics 21(2): 361-396 (2017) - Ying Jiao, Chunhua Ma, Simone Scotti:
Alpha-CIR model with branching processes in sovereign interest rate modeling. Finance Stochastics 21(3): 789-813 (2017) - Sigrid Källblad:
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Finance Stochastics 21(2): 397-425 (2017) - Ioannis Karatzas, Johannes Ruf:
Trading strategies generated by Lyapunov functions. Finance Stochastics 21(3): 753-787 (2017) - Constantinos Kardaras, Scott Robertson:
Continuous-time perpetuities and time reversal of diffusions. Finance Stochastics 21(1): 65-110 (2017) - Holger Kraft, Thomas Seiferling, Frank Thomas Seifried:
Optimal consumption and investment with Epstein-Zin recursive utility. Finance Stochastics 21(1): 187-226 (2017) - Zhi Liu:
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. Finance Stochastics 21(2): 427-469 (2017) - Delip Madan, Martijn Pistorius, Mitja Stadje:
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Finance Stochastics 21(4): 1073-1102 (2017) - Stefano Pagliarani, Andrea Pascucci:
The exact Taylor formula of the implied volatility. Finance Stochastics 21(3): 661-718 (2017) - Neofytos Rodosthenous, Mihail Zervos:
Watermark options. Finance Stochastics 21(1): 157-186 (2017)
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