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Publication search results
found 33 matches
- 2016
- Aurélien Alfonsi, Pierre Blanc:
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Finance Stochastics 20(1): 183-218 (2016) - Peter Bank, Selim Gökay:
Superreplication when trading at market indifference prices. Finance Stochastics 20(1): 153-182 (2016) - Bruno Bouchard, Grégoire Loeper, Yiyi Zou:
Almost-sure hedging with permanent price impact. Finance Stochastics 20(3): 741-771 (2016) - Bruno Bouchard, Marcel Nutz:
Consistent price systems under model uncertainty. Finance Stochastics 20(1): 83-98 (2016) - Matteo Burzoni, Marco Frittelli, Marco Maggis:
Universal arbitrage aggregator in discrete-time markets under uncertainty. Finance Stochastics 20(1): 1-50 (2016) - Jiatu Cai, Masaaki Fukasawa:
Asymptotic replication with modified volatility under small transaction costs. Finance Stochastics 20(2): 381-431 (2016) - Alexander M. G. Cox, Zhaoxu Hou, Jan Oblój:
Robust pricing and hedging under trading restrictions and the emergence of local martingale models. Finance Stochastics 20(3): 669-704 (2016) - Stéphane Crépey, Shiqi Song:
Counterparty risk and funding: immersion and beyond. Finance Stochastics 20(4): 901-930 (2016) - Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto:
A general HJM framework for multiple yield curve modelling. Finance Stochastics 20(2): 267-320 (2016) - Angelos Dassios, You You Zhang:
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Finance Stochastics 20(3): 773-804 (2016) - Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel:
Risk measures with the CxLS property. Finance Stochastics 20(2): 433-453 (2016) - Arash Fahim, Yu-Jui Huang:
Model-independent superhedging under portfolio constraints. Finance Stochastics 20(1): 51-81 (2016) - José E. Figueroa-López, Sveinn Ólafsson:
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. Finance Stochastics 20(1): 219-265 (2016) - José E. Figueroa-López, Sveinn Ólafsson:
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. Finance Stochastics 20(4): 973-1020 (2016) - Damir Filipovic, Martin Larsson:
Polynomial diffusions and applications in finance. Finance Stochastics 20(4): 931-972 (2016) - Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016) - Kathrin Glau:
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Finance Stochastics 20(4): 1021-1059 (2016) - Laurens de Haan, Cécile Mercadier, Chen Zhou:
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance Stochastics 20(2): 321-354 (2016) - Pierre Henry-Labordère, Nizar Touzi:
An explicit martingale version of the one-dimensional Brenier theorem. Finance Stochastics 20(3): 635-668 (2016) - Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing. Finance Stochastics 20(3): 805 (2016)
- Yuri Kabanov, Constantinos Kardaras, Shiqi Song:
No arbitrage of the first kind and local martingale numéraires. Finance Stochastics 20(4): 1097-1108 (2016) - Yuri Kabanov, Serguei Pergamenshchikov:
In the insurance business risky investments are dangerous: the case of negative risk sums. Finance Stochastics 20(2): 355-379 (2016) - Kasper Larsen, Halil Mete Soner, Gordan Zitkovic:
Facelifting in utility maximization. Finance Stochastics 20(1): 99-121 (2016) - Jing Li, Lingfei Li, Rafael Mendoza-Arriaga:
Additive subordination and its applications in finance. Finance Stochastics 20(3): 589-634 (2016) - Andrew Lyasoff:
Another look at the integral of exponential Brownian motion and the pricing of Asian options. Finance Stochastics 20(4): 1061-1096 (2016) - Eyal Neuman, Alexander Schied:
Optimal portfolio liquidation in target zone models and catalytic superprocesses. Finance Stochastics 20(2): 495-509 (2016) - Tianyang Nie, Marek Rutkowski:
A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance Stochastics 20(4): 855-900 (2016) - Erwan Pierre, Stéphane Villeneuve, Xavier Warin:
Liquidity management with decreasing returns to scale and secured credit line. Finance Stochastics 20(4): 809-854 (2016) - Berend Roorda, Johannes M. Schumacher:
Weakly time consistent concave valuations and their dual representations. Finance Stochastics 20(1): 123-151 (2016) - Torsten Schöneborn:
Adaptive basket liquidation. Finance Stochastics 20(2): 455-493 (2016)
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