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Publication search results
found 24 matches
- 1999
- Tomas Björk, Andrea Gombani:
Minimal realizations of interest rate models. Finance Stochastics 3(4): 413-432 (1999) - Mark Broadie, Paul Glasserman, Shing-Gang Kou:
Connecting discrete and continuous path-dependent options. Finance Stochastics 3(1): 55-82 (1999) - Sid Browne:
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark. Finance Stochastics 3(3): 275-294 (1999) - Abel Cadenillas, Stanley R. Pliska:
Optimal trading of a security when there are taxes and transaction costs. Finance Stochastics 3(2): 137-165 (1999) - George M. Constantinides, Thaleia Zariphopoulou:
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. Finance Stochastics 3(3): 345-369 (1999) - Jaksa Cvitanic, Ioannis Karatzas:
On dynamic measures of risk. Finance Stochastics 3(4): 451-482 (1999) - Jaksa Cvitanic, Huyên Pham, Nizar Touzi:
A closed-form solution to the problem of super-replication under transaction costs. Finance Stochastics 3(1): 35-54 (1999) - Michael Dritschel, Philip Protter:
Complete markets with discontinuous security price. Finance Stochastics 3(2): 203-214 (1999) - Hans Föllmer, Peter Leukert:
Quantile hedging. Finance Stochastics 3(3): 251-273 (1999) - Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi:
Applications of Malliavin calculus to Monte Carlo methods in finance. Finance Stochastics 3(4): 391-412 (1999) - Christoph Gallus:
Exploding hedging errors for digital options. Finance Stochastics 3(2): 187-201 (1999) - Chi-Fu Huang, Thaleia Zariphopoulou:
Turnpike behavior of long-term investments. Finance Stochastics 3(1): 15-34 (1999) - Robert Jarrow, Dilip B. Madan:
Hedging contingent claims on semimartingales. Finance Stochastics 3(1): 111-134 (1999) - Yuri M. Kabanov:
Hedging and liquidation under transaction costs in currency markets. Finance Stochastics 3(2): 237-248 (1999) - Ajay Khanna, Martin Kulldorff:
A generalization of the mutual fund theorem. Finance Stochastics 3(2): 167-185 (1999) - Thomas S. Knudsen, Bernhard Meister, Mihail Zervos:
On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation. Finance Stochastics 3(4): 433-449 (1999) - Jean Paul Laurent, Huyên Pham:
Dynamic programming and mean-variance hedging. Finance Stochastics 3(1): 83-110 (1999) - Ernesto Mordecki:
Optimal stopping for a diffusion with jumps. Finance Stochastics 3(2): 227-236 (1999) - Ragnar Norberg:
A theory of bonus in life insurance. Finance Stochastics 3(4): 373-390 (1999) - Jan Pedersen:
Convergence of strategies: An approach using Clark-Haussmann's formula. Finance Stochastics 3(3): 323-344 (1999) - Eckhard Platen:
A short term interest rate model. Finance Stochastics 3(2): 215-225 (1999) - Tiziano Vargiolu:
Invariant measures for the Musiela equation with deterministic diffusion term. Finance Stochastics 3(4): 483-492 (1999) - Stéphane Villeneuve:
Exercise regions of American options on several assets. Finance Stochastics 3(3): 295-322 (1999) - Walter Willinger, Murad S. Taqqu, Vadim Teverovsky:
Stock market prices and long-range dependence. Finance Stochastics 3(1): 1-13 (1999)
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