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Publication search results
found 24 matches
- 2008
- Christian Bender, Christina R. Niethammer:
On q-optimal martingale measures in exponential Lévy models. Finance Stochastics 12(3): 381-410 (2008) - Christian Bender, Tommi Sottinen
, Esko Valkeila:
Pricing by hedging and no-arbitrage beyond semimartingales. Finance Stochastics 12(4): 441-468 (2008) - Jocelyne Bion-Nadal:
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Finance Stochastics 12(2): 219-244 (2008) - Zhiyong Chen, Paul Glasserman:
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Finance Stochastics 12(4): 507-540 (2008) - Delia Coculescu
, Hélyette Geman, Monique Jeanblanc:
Valuation of default-sensitive claims under imperfect information. Finance Stochastics 12(2): 195-218 (2008) - Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev:
On the duality principle in option pricing: semimartingale setting. Finance Stochastics 12(2): 265-292 (2008) - Erik Ekström, Johan Tysk:
Convexity theory for the term structure equation. Finance Stochastics 12(1): 117-147 (2008) - Romuald Elie, Nizar Touzi:
Optimal lifetime consumption and investment under a drawdown constraint. Finance Stochastics 12(3): 299-330 (2008) - Damir Filipovic, Gregor Svindland
:
Optimal capital and risk allocations for law- and cash-invariant convex functions. Finance Stochastics 12(3): 423-439 (2008) - Damir Filipovic, Stefan Tappe
:
Existence of Lévy term structure models. Finance Stochastics 12(1): 83-115 (2008) - Tom Fischer:
Consumption processes and positively homogeneous projection properties. Finance Stochastics 12(3): 357-380 (2008) - Paolo Guasoni
, Scott Robertson
:
Optimal importance sampling with explicit formulas in continuous time. Finance Stochastics 12(1): 1-19 (2008) - Saul Jacka
, Abdelkarem Berkaoui, Jon Warren:
No arbitrage and closure results for trading cones with transaction costs. Finance Stochastics 12(4): 583-600 (2008) - Zhengjun Jiang, Martijn Pistorius
:
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Finance Stochastics 12(3): 331-355 (2008) - Yuri Kabanov:
In discrete time a local martingale is a martingale under an equivalent probability measure. Finance Stochastics 12(3): 293-297 (2008) - Martin Keller-Ressel, Thomas Steiner:
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Finance Stochastics 12(2): 149-172 (2008) - Damien Lamberton, Mohammed Adam Mikou:
The critical price for the American put in an exponential Lévy model. Finance Stochastics 12(4): 561-581 (2008) - Sergei Levendorskii:
American and European options in multi-factor jump-diffusion models, near expiry. Finance Stochastics 12(4): 541-560 (2008) - Semyon Malamud:
Long run forward rates and long yields of bonds and options in heterogeneous equilibria. Finance Stochastics 12(2): 245-264 (2008) - Semyon Malamud:
Universal bounds for asset prices in heterogeneous economies. Finance Stochastics 12(3): 411-422 (2008) - Andrea Pascucci
:
Free boundary and optimal stopping problems for American Asian options. Finance Stochastics 12(1): 21-41 (2008) - Dmitry B. Rokhlin
:
Asymptotic arbitrage and numéraire portfolios in large financial markets. Finance Stochastics 12(2): 173-194 (2008) - Martin Schweizer, Johannes Wissel:
Arbitrage-free market models for option prices: the multi-strike case. Finance Stochastics 12(4): 469-505 (2008) - Peter J. Seiler
, Bart Taub
:
The dynamics of strategic information flows in stock markets. Finance Stochastics 12(1): 43-82 (2008)
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