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Publication search results
found 27 matches
- 2007
- Beatrice Acciaio:
Optimal risk sharing with non-monotone monetary functionals. Finance Stochastics 11(2): 267-289 (2007) - Elisa Alòs, Jorge A. León, Josep Vives:
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance Stochastics 11(4): 571-589 (2007) - Leif Andersen, Vladimir V. Piterbarg:
Moment explosions in stochastic volatility models. Finance Stochastics 11(1): 29-50 (2007) - Erhan Bayraktar, Virginia R. Young:
Correspondence between lifetime minimum wealth and utility of consumption. Finance Stochastics 11(2): 213-236 (2007) - Sara Biagini, Marco Frittelli:
The supermartingale property of the optimal wealth process for general semimartingales. Finance Stochastics 11(2): 253-266 (2007) - Luciano Campi, Umut Çetin:
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance Stochastics 11(4): 591-602 (2007) - Ignacio Cascos, Ilya S. Molchanov:
Multivariate risks and depth-trimmed regions. Finance Stochastics 11(3): 373-397 (2007) - Lo-Bin Chang, Kenneth James Palmer:
Smooth convergence in the binomial model. Finance Stochastics 11(1): 91-105 (2007) - Nan Chen, Paul Glasserman:
Additive and multiplicative duals for American option pricing. Finance Stochastics 11(2): 153-179 (2007) - Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu:
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model. Finance Stochastics 11(3): 323-355 (2007) - Alexander S. Cherny:
Pricing and hedging European options with discrete-time coherent risk. Finance Stochastics 11(4): 537-569 (2007) - Alexander S. Cherny, Pavel G. Grigoriev:
Dilatation monotone risk measures are law invariant. Finance Stochastics 11(2): 291-298 (2007) - Tahir Choulli, Christophe Stricker, Jia Li:
Minimal Hellinger martingale measures of order q. Finance Stochastics 11(3): 399-427 (2007) - Jeffrey F. Collamore, Andrea Höing:
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain. Finance Stochastics 11(3): 299-322 (2007) - Mark H. A. Davis, Vicente Mataix-Pastor:
Negative Libor rates in the swap market model. Finance Stochastics 11(2): 181-193 (2007) - Jean-Paul Décamps, Stéphane Villeneuve:
Optimal dividend policy and growth option. Finance Stochastics 11(1): 3-27 (2007) - Arnaud Gloter:
Efficient estimation of drift parameters in stochastic volatility models. Finance Stochastics 11(4): 495-519 (2007) - Jacek Jakubowski, Jerzy Zabczyk:
Exponential moments for HJM models with jumps. Finance Stochastics 11(3): 429-445 (2007) - Robert A. Jarrow, Philip Protter, A. Deniz Sezer:
Information reduction via level crossings in a credit risk model. Finance Stochastics 11(2): 195-212 (2007) - Benjamin Jourdain:
Stochastic flow approach to Dupire's formula. Finance Stochastics 11(4): 521-535 (2007) - Ioannis Karatzas, Constantinos Kardaras:
The numéraire portfolio in semimartingale financial models. Finance Stochastics 11(4): 447-493 (2007) - Andreas E. Kyprianou, Budhi Arta Surya:
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. Finance Stochastics 11(1): 131-152 (2007) - L. C. G. Rogers, José A. Scheinkman:
Optimal exercise of executive stock options. Finance Stochastics 11(3): 357-372 (2007) - Alexander Schied:
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Finance Stochastics 11(1): 107-129 (2007) - Martin Schweizer:
Editorial. Finance Stochastics 11(1): 1-2 (2007) - Dimitri De Vallière, Yuri Kabanov, Christophe Stricker:
No-arbitrage criteria for financial markets with transaction costs and incomplete information. Finance Stochastics 11(2): 237-251 (2007) - Vathana Ly Vath, Mohamed Mnif, Huyên Pham:
A model of optimal portfolio selection under liquidity risk and price impact. Finance Stochastics 11(1): 51-90 (2007)
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