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Publication search results
found 33 matches
- 2013
- Nico Achtsis, Ronald Cools
, Dirk Nuyens
:
Conditional Sampling for Barrier Option Pricing under the LT Method. SIAM J. Financial Math. 4(1): 327-352 (2013) - Stefan Ankirchner, Peter Kratz, Thomas Kruse:
Hedging Forward Positions: Basis Risk Versus Liquidity Costs. SIAM J. Financial Math. 4(1): 668-696 (2013) - Carole Bernard
, Wenbo V. Li:
Pricing and Hedging of Cliquet Options and Locally Capped Contracts. SIAM J. Financial Math. 4(1): 353-371 (2013) - Sara Biagini, Mustafa Ç. Pinar:
The Best Gain-Loss Ratio is a Poor Performance Measure. SIAM J. Financial Math. 4(1): 228-242 (2013) - Francesca Biagini, Irene Schreiber:
Risk-Minimization for Life Insurance Liabilities. SIAM J. Financial Math. 4(1): 243-264 (2013) - Maxim Bichuch
, Steven E. Shreve
:
Utility Maximization Trading Two Futures with Transaction Costs. SIAM J. Financial Math. 4(1): 26-85 (2013) - Peter Carr, Travis Fisher, Johannes Ruf:
Why Are Quadratic Normal Volatility Models Analytically Tractable? SIAM J. Financial Math. 4(1): 185-202 (2013) - Xinfu Chen, Min Dai
:
Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs. SIAM J. Financial Math. 4(1): 857-883 (2013) - Etienne Chevalier, Vathana Ly Vath, Simone Scotti:
An Optimal Dividend and Investment Control Problem under Debt Constraints. SIAM J. Financial Math. 4(1): 297-326 (2013) - Rama Cont
, Adrien de Larrard:
Price Dynamics in a Markovian Limit Order Market. SIAM J. Financial Math. 4(1): 1-25 (2013) - Angelos Dassios
, Jia Wei Lim:
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time. SIAM J. Financial Math. 4(1): 599-615 (2013) - Philipp Dörsek, Josef Teichmann:
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes. SIAM J. Financial Math. 4(1): 575-598 (2013) - Ernst Eberlein, Zorana Grbac, Thorsten Schmidt
:
Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes. SIAM J. Financial Math. 4(1): 616-649 (2013) - Liming Feng, Xiong Lin:
Inverting Analytic Characteristic Functions and Financial Applications. SIAM J. Financial Math. 4(1): 372-398 (2013) - Liming Feng, Xiong Lin:
Pricing Bermudan Options in Lévy Process Models. SIAM J. Financial Math. 4(1): 474-493 (2013) - Jean-Pierre Fouque, Tomoyuki Ichiba:
Stability in a Model of Interbank Lending. SIAM J. Financial Math. 4(1): 784-803 (2013) - Josselin Garnier, George Papanicolaou, Tzu-Wei Yang:
Large Deviations for a Mean Field Model of Systemic Risk. SIAM J. Financial Math. 4(1): 151-184 (2013) - Sam D. Howison, Christoph Reisinger
, Jan Hendrik Witte:
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. SIAM J. Financial Math. 4(1): 539-574 (2013) - Antoine Jacquier
, Matthew J. Lorig:
The Smile of Certain Lévy-Type Models. SIAM J. Financial Math. 4(1): 804-830 (2013) - Antoine Jacquier
, Patrick Roome:
The Small-Maturity Heston Forward Smile. SIAM J. Financial Math. 4(1): 831-856 (2013) - Noureddine El Karoui:
On the Realized Risk of High-Dimensional Markowitz Portfolios. SIAM J. Financial Math. 4(1): 737-783 (2013) - Ren Liu, Johannes Muhle-Karbe:
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. SIAM J. Financial Math. 4(1): 203-227 (2013) - Markus Mocha, Nicholas Westray:
The Stability of the Constrained Utility Maximization Problem: A BSDE Approach. SIAM J. Financial Math. 4(1): 117-150 (2013) - Jean-Baptiste Monnier:
Risk-Neutral Density Recovery via Spectral Analysis. SIAM J. Financial Math. 4(1): 650-667 (2013) - Michael Monoyios
:
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems. SIAM J. Financial Math. 4(1): 884-915 (2013) - Sergey Nadtochiy
, Thaleia Zariphopoulou
:
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. SIAM J. Financial Math. 4(1): 494-538 (2013) - Nicole El Karoui, Mrad Mohamed:
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE. SIAM J. Financial Math. 4(1): 697-736 (2013) - Stefano Pagliarani
, Andrea Pascucci
, Candia Riga:
Adjoint Expansions in Local Lévy Models. SIAM J. Financial Math. 4(1): 265-296 (2013) - Andrew Papanicolaou
:
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM J. Financial Math. 4(1): 916-960 (2013) - John Schoenmakers, Jianing Zhang, Junbo Huang:
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. SIAM J. Financial Math. 4(1): 86-116 (2013)
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