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Publication search results
found 24 matches
- 2000
- Knut K. Aase, Bernt Øksendal, Nicolas Privault, Jan Ubøe:
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Finance Stochastics 4(4): 465-496 (2000) - Søren Asmussen, Bjarne Højgaard, Michael Taksar:
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Finance Stochastics 4(3): 299-324 (2000) - Nadine Bellamy, Monique Jeanblanc:
Incompleteness of markets driven by a mixed diffusion. Finance Stochastics 4(2): 209-222 (2000) - Tomasz R. Bielecki, Stanley R. Pliska:
Risk sensitive asset management with transaction costs. Finance Stochastics 4(1): 1-33 (2000) - Damiano Brigo, Fabio Mercurio:
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. Finance Stochastics 4(2): 147-159 (2000) - Frank Döberlein, Martin Schweizer, Christophe Stricker:
Implied savings accounts are unique. Finance Stochastics 4(4): 431-442 (2000) - Hans Föllmer, Peter Leukert:
Efficient hedging: Cost versus shortfall risk. Finance Stochastics 4(2): 117-146 (2000) - Rüdiger Frey:
Superreplication in stochastic volatility models and optimal stopping. Finance Stochastics 4(2): 161-187 (2000) - Marco Frittelli
:
Introduction to a theory of value coherent with the no-arbitrage principle. Finance Stochastics 4(3): 275-297 (2000) - Paul Glasserman, Xiaoliang Zhao:
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Finance Stochastics 4(1): 35-68 (2000) - Asbjørn T. Hansen, Rolf Poulsen:
A simple regime switching term structure model. Finance Stochastics 4(4): 409-429 (2000) - Wolfgang K. Härdle, Christian M. Hafner:
Discrete time option pricing with flexible volatility estimation. Finance Stochastics 4(2): 189-207 (2000) - Vicky Henderson, David Hobson:
Local time, coupling and the passport option. Finance Stochastics 4(1): 69-80 (2000) - Cho-Hoi Hui, Chi-Fai Lo, P. H. Yuen:
Comment on 'Pricing double barrier options using Laplace transforms' by Antoon Pelsser. Finance Stochastics 4(1): 105-107 (2000) - Phil Hunt, Joanne Kennedy, Antoon Pelsser:
Markov-functional interest rate models. Finance Stochastics 4(4): 391-408 (2000) - Yuri Kifer:
Game options. Finance Stochastics 4(4): 443-463 (2000) - Camilla Landén:
Bond pricing in a hidden Markov model of the short rate. Finance Stochastics 4(4): 371-389 (2000) - Boris Leblanc, Olivier Renault, Olivier Scaillet:
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Finance Stochastics 4(1): 109-111 (2000) - Jean-Philippe Lesne, Jean-Luc Prigent
, Olivier Scaillet:
Convergence of discrete time option pricing models under stochastic interest rates. Finance Stochastics 4(1): 81-93 (2000) - Rimas Norvaisa:
Modelling of stock price changes: A real analysis approach. Finance Stochastics 4(3): 343-369 (2000) - Anders Øksendal:
Irreversible investment problems. Finance Stochastics 4(2): 223-250 (2000) - Antoon Pelsser
:
Pricing double barrier options using Laplace transforms. Finance Stochastics 4(1): 95-104 (2000) - Silvia Romagnoli, Tiziano Vargiolu:
Robustness of the Black-Scholes approach in the case of options on several assets. Finance Stochastics 4(3): 325-341 (2000) - Steven E. Shreve, Jan Vecer
:
Options on a traded account: Vacation calls, vacation puts and passport options. Finance Stochastics 4(3): 255-274 (2000)
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