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Publication search results
found 32 matches
- 2005
- Takuji Arai:
An extension of mean-variance hedging to the discontinuous case. Finance Stochastics 9(1): 129-139 (2005) - Pauline Barrieu, Nicole El Karoui:
Inf-convolution of risk measures and optimal risk transfer. Finance Stochastics 9(2): 269-298 (2005) - Fred E. Benth, Thilo Meyer-Brandis:
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps. Finance Stochastics 9(4): 563-575 (2005) - Sara Biagini, Marco Frittelli:
Utility maximization in incomplete markets for unbounded processes. Finance Stochastics 9(4): 493-517 (2005) - Tomas Björk, Henrik Hult:
A note on Wick products and the fractional Black-Scholes model. Finance Stochastics 9(2): 197-209 (2005) - Damiano Brigo, Aurélien Alfonsi:
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochastics 9(1): 29-42 (2005) - Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor:
Pricing options on realized variance. Finance Stochastics 9(4): 453-475 (2005) - Li Chen, Damir Filipovic:
A simple model for credit migration and spread curves. Finance Stochastics 9(2): 211-231 (2005) - Patrick Cheridito, Freddy Delbaen, Michael Kupper:
Coherent and convex monetary risk measures for unbounded càdlàg processes. Finance Stochastics 9(3): 369-387 (2005) - Rama Cont, Ekaterina Voltchkova:
Integro-differential equations for option prices in exponential Lévy models. Finance Stochastics 9(3): 299-325 (2005) - José Manuel Corcuera, David Nualart, Wim Schoutens:
Completion of a Lévy market by power-jump assets. Finance Stochastics 9(1): 109-127 (2005) - Alexander M. G. Cox, David Hobson:
Local martingales, bubbles and option prices. Finance Stochastics 9(4): 477-492 (2005) - Jérôme Detemple, René Garcia, Marcel Rindisbacher:
Representation formulas for Malliavin derivatives of diffusion processes. Finance Stochastics 9(3): 349-367 (2005) - Kai Detlefsen, Giacomo Scandolo:
Conditional and dynamic convex risk measures. Finance Stochastics 9(4): 539-561 (2005) - Ernst Eberlein, Jean Jacod, Sebastian Raible:
Lévy term structure models: No-arbitrage and completeness. Finance Stochastics 9(1): 67-88 (2005) - Ernst Eberlein, Fehmi Özkan:
The Lévy LIBOR model. Finance Stochastics 9(3): 327-348 (2005) - Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras:
Diversity and relative arbitrage in equity markets. Finance Stochastics 9(1): 1-27 (2005) - Anne Gundel:
Robust utility maximization for complete and incomplete market models. Finance Stochastics 9(2): 151-176 (2005) - Lane P. Hughston, Avraam Rafailidis:
A chaotic approach to interest rate modelling. Finance Stochastics 9(1): 43-65 (2005) - Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar:
Optimal investment with derivative securities. Finance Stochastics 9(4): 585-595 (2005) - Volker Krätschmer:
Robust representation of convex risk measures by probability measures. Finance Stochastics 9(4): 597-608 (2005) - Susanne Kruse, Ulrich Nögel:
On the pricing of forward starting options in Heston's model on stochastic volatility. Finance Stochastics 9(2): 233-250 (2005) - Kasper Larsen, Traian A. Pirvu, Steven E. Shreve, Reha H. Tütüncü:
Satisfying convex risk limits by trading. Finance Stochastics 9(2): 177-195 (2005) - Alexander Melnikov, Yury G. Petrachenko:
On option pricing in binomial market with transaction costs. Finance Stochastics 9(1): 141-149 (2005) - Yoshifumi Muroi:
Pricing contingent claims with credit risk: Asymptotic expansion approach. Finance Stochastics 9(3): 415-427 (2005) - Ragnar Norberg:
Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance Stochastics 9(4): 519-537 (2005) - Goran Peskir:
The Russian option: Finite horizon. Finance Stochastics 9(2): 251-267 (2005) - Thorsten Rheinländer:
An entropy approach to the Stein and Stein model with correlation. Finance Stochastics 9(3): 399-413 (2005) - Lutz Schloegl, Dominic O'Kane:
A note on the large homogeneous portfolio approximation with the Student-t copula. Finance Stochastics 9(4): 577-584 (2005) - Alexander Szimayer:
Valuation of American options in the presence of event risk. Finance Stochastics 9(1): 89-107 (2005)
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