| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
|
Göing-Jaeschke, Anja
|
|
2003
|
|
3 |
p. 413-415
|
artikel
|
| 2 |
A class of short-term models for the oil industry that accounts for speculative oil storage
|
Achdou, Yves
|
|
|
|
3 |
p. 631-669
|
artikel
|
| 3 |
A continuous-time asset market game with short-lived assets
|
Zhitlukhin, Mikhail
|
|
|
|
3 |
p. 587-630
|
artikel
|
| 4 |
Adapted Wasserstein distances and stability in mathematical finance
|
Backhoff-Veraguas, Julio
|
|
|
|
3 |
p. 601-632
|
artikel
|
| 5 |
Addendum to: Multilevel dual approach for pricing American style derivatives
|
Belomestny, Denis
|
|
2015
|
|
3 |
p. 681-684
|
artikel
|
| 6 |
Additional utility of insiders with imperfect dynamical information
|
Corcuera, José M.
|
|
2004
|
|
3 |
p. 437-450
|
artikel
|
| 7 |
Additive subordination and its applications in finance
|
Li, Jing
|
|
2016
|
|
3 |
p. 589-634
|
artikel
|
| 8 |
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
|
Alòs, Elisa
|
|
2012
|
|
3 |
p. 403-422
|
artikel
|
| 9 |
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
|
Brigo, Damiano
|
|
2001
|
|
3 |
p. 369-387
|
artikel
|
| 10 |
Adjoint-based Monte Carlo calibration of financial market models
|
Kaebe, C.
|
|
2009
|
|
3 |
p. 351-379
|
artikel
|
| 11 |
Affine forward variance models
|
Gatheral, Jim
|
|
2019
|
|
3 |
p. 501-533
|
artikel
|
| 12 |
A general approach for Parisian stopping times under Markov processes
|
Zhang, Gongqiu
|
|
|
|
3 |
p. 769-829
|
artikel
|
| 13 |
A general characterization of one factor affine term structure models
|
Filipović, Damir
|
|
2001
|
|
3 |
p. 389-412
|
artikel
|
| 14 |
A generalization of the Hull and White formula with applications to option pricing approximation
|
Alòs, Elisa
|
|
2006
|
|
3 |
p. 353-365
|
artikel
|
| 15 |
A jump to default extended CEV model: an application of Bessel processes
|
Carr, Peter
|
|
2006
|
|
3 |
p. 303-330
|
artikel
|
| 16 |
A least-squares Monte Carlo approach to the estimation of enterprise risk
|
Ha, Hongjun
|
|
|
|
3 |
p. 417-459
|
artikel
|
| 17 |
Almost-sure hedging with permanent price impact
|
Bouchard, Bruno
|
|
2016
|
|
3 |
p. 741-771
|
artikel
|
| 18 |
Alpha-CIR model with branching processes in sovereign interest rate modeling
|
Jiao, Ying
|
|
2017
|
|
3 |
p. 789-813
|
artikel
|
| 19 |
A model of financial market with several interacting assets. Complete market case
|
Albeverio, Sergio
|
|
2002
|
|
3 |
p. 383-396
|
artikel
|
| 20 |
A multi-asset investment and consumption problem with transaction costs
|
Hobson, David
|
|
2019
|
|
3 |
p. 641-676
|
artikel
|
| 21 |
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
|
Giles, Michael B.
|
|
2009
|
|
3 |
p. 403-413
|
artikel
|
| 22 |
An application of hidden Markov models to asset allocation problems
|
Elliott, Robert J.
|
|
1997
|
|
3 |
p. 229-238
|
artikel
|
| 23 |
An entropy approach to the Stein and Stein model with correlation
|
Rheinländer, Thorsten
|
|
2005
|
|
3 |
p. 399-413
|
artikel
|
| 24 |
A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
|
Ninomiya, Mariko
|
|
2009
|
|
3 |
p. 415-443
|
artikel
|
| 25 |
An explicit martingale version of the one-dimensional Brenier theorem
|
Henry-Labordère, Pierre
|
|
2016
|
|
3 |
p. 635-668
|
artikel
|
| 26 |
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
|
Chen, Yu-Ting
|
|
2007
|
|
3 |
p. 323-355
|
artikel
|
| 27 |
An optimal execution problem with market impact
|
Kato, Takashi
|
|
2014
|
|
3 |
p. 695-732
|
artikel
|
| 28 |
An optimal stopping problem with a reward constraint
|
Detemple, Jérôme
|
|
2012
|
|
3 |
p. 423-448
|
artikel
|
| 29 |
A note on calculating the optimal risky portfolio
|
Tütüncü, Reha H.
|
|
2001
|
|
3 |
p. 413-417
|
artikel
|
| 30 |
A note on invariant measures for HJM models
|
Tehranchi, Michael
|
|
2005
|
|
3 |
p. 389-398
|
artikel
|
| 31 |
A note on the existence of unique equivalent martingale measures in a Markovian setting
|
Rydberg, Tina Hviid
|
|
1997
|
|
3 |
p. 251-257
|
artikel
|
| 32 |
An SPDE model for systemic risk with endogenous contagion
|
Hambly, Ben
|
|
2019
|
|
3 |
p. 535-594
|
artikel
|
| 33 |
Approximate hedging for nonlinear transaction costs on the volume of traded assets
|
Elie, Romuald
|
|
2015
|
|
3 |
p. 541-581
|
artikel
|
| 34 |
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
|
Bouchard, Bruno
|
|
|
|
3 |
p. 505-528
|
artikel
|
| 35 |
Arbitrage and investment opportunities
|
Jouini, Elyès
|
|
2001
|
|
3 |
p. 305-325
|
artikel
|
| 36 |
A reading guide for last passage times with financial applications in view
|
Nikeghbali, Ashkan
|
|
2013
|
|
3 |
p. 615-640
|
artikel
|
| 37 |
A risk-sensitive stochastic control approach to an optimal investment problem with partial information
|
Hata, Hiroaki
|
|
2006
|
|
3 |
p. 395-426
|
artikel
|
| 38 |
A semilinear Black and Scholes partial differential equation for valuing American options
|
Benth, Fred E.
|
|
2003
|
|
3 |
p. 277-298
|
artikel
|
| 39 |
A semimartingale BSDE related to the minimal entropy martingale measure
|
Mania, Michael
|
|
2003
|
|
3 |
p. 385-402
|
artikel
|
| 40 |
A splitting strategy for the calibration of jump-diffusion models
|
Albani, Vinicius V. L.
|
|
|
|
3 |
p. 677-722
|
artikel
|
| 41 |
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
|
Diesinger, Peter
|
|
2009
|
|
3 |
p. 343-374
|
artikel
|
| 42 |
A stochastic control problem with delay arising in a pension fund model
|
Federico, Salvatore
|
|
2010
|
|
3 |
p. 421-459
|
artikel
|
| 43 |
Asymptotic distribution of law-invariant risk functionals
|
Pflug, Georg
|
|
2010
|
|
3 |
p. 397-418
|
artikel
|
| 44 |
A theory of Markovian time-inconsistent stochastic control in discrete time
|
Björk, Tomas
|
|
2014
|
|
3 |
p. 545-592
|
artikel
|
| 45 |
A unified framework for robust modelling of financial markets in discrete time
|
Obłój, Jan
|
|
|
|
3 |
p. 427-468
|
artikel
|
| 46 |
A valuation algorithm for indifference prices in incomplete markets
|
Musiela, Marek
|
|
2004
|
|
3 |
p. 399-414
|
artikel
|
| 47 |
A variational inequality approach to financial valuation of retirement benefits based on salary
|
Friedman, Avner
|
|
2002
|
|
3 |
p. 273-302
|
artikel
|
| 48 |
Basket CDS pricing with interacting intensities
|
Zheng, Harry
|
|
2009
|
|
3 |
p. 445-469
|
artikel
|
| 49 |
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
|
Browne, Sid
|
|
1999
|
|
3 |
p. 275-294
|
artikel
|
| 50 |
Bond market completeness and attainable contingent claims
|
Taflin, Erik
|
|
2005
|
|
3 |
p. 429-452
|
artikel
|
| 51 |
Bounds for Functions of Dependent Risks
|
Embrechts, Paul
|
|
2006
|
|
3 |
p. 341-352
|
artikel
|
| 52 |
Bounds for VIX futures given S&P 500 smiles
|
Guyon, Julien
|
|
2017
|
|
3 |
p. 593-630
|
artikel
|
| 53 |
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
|
Constantinides, George M.
|
|
1999
|
|
3 |
p. 345-369
|
artikel
|
| 54 |
Chebyshev interpolation for parametric option pricing
|
Gaß, Maximilian
|
|
2018
|
|
3 |
p. 701-731
|
artikel
|
| 55 |
Coherent and convex monetary risk measures for unbounded càdlàg processes
|
Cheridito, Patrick
|
|
2006
|
|
3 |
p. 427-448
|
artikel
|
| 56 |
Coherent and convex monetary risk measures for unbounded càdlàg processes
|
Cheridito, Patrick
|
|
2005
|
|
3 |
p. 369-387
|
artikel
|
| 57 |
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
|
Delbaen, Freddy
|
|
|
|
3 |
p. 597-614
|
artikel
|
| 58 |
Conditional Davis pricing
|
Larsen, Kasper
|
|
|
|
3 |
p. 565-599
|
artikel
|
| 59 |
Conditional Gaussian models of the term structure of interest rates
|
Babbs, Simon H.
|
|
2002
|
|
3 |
p. 333-353
|
artikel
|
| 60 |
Confidence sets in nonparametric calibration of exponential Lévy models
|
Söhl, Jakob
|
|
2014
|
|
3 |
p. 617-649
|
artikel
|
| 61 |
Consistency among trading desks
|
Heath, David
|
|
2006
|
|
3 |
p. 331-340
|
artikel
|
| 62 |
Consumption-investment problem with transaction costs for Lévy-driven price processes
|
Vallière, Dimitri De
|
|
2016
|
|
3 |
p. 705-740
|
artikel
|
| 63 |
Consumption processes and positively homogeneous projection properties
|
Fischer, Tom
|
|
2008
|
|
3 |
p. 357-380
|
artikel
|
| 64 |
Contagious McKean–Vlasov systems with heterogeneous impact and exposure
|
Feinstein, Zachary
|
|
|
|
3 |
p. 663-711
|
artikel
|
| 65 |
Continuous-time incentives in hierarchies
|
Hubert, Emma
|
|
|
|
3 |
p. 605-661
|
artikel
|
| 66 |
Convergence of strategies: An approach using Clark-Haussmann's formula
|
Pedersen, Jan
|
|
1999
|
|
3 |
p. 323-344
|
artikel
|
| 67 |
Default times, no-arbitrage conditions and changes of probability measures
|
Coculescu, Delia
|
|
2012
|
|
3 |
p. 513-535
|
artikel
|
| 68 |
Discrete time hedging errors for options with irregular payoffs
|
Gobet, Emmanuel
|
|
2001
|
|
3 |
p. 357-367
|
artikel
|
| 69 |
Distributional compatibility for change of measures
|
Shen, Jie
|
|
2019
|
|
3 |
p. 761-794
|
artikel
|
| 70 |
Duality and convergence for binomial markets with friction
|
Dolinsky, Yan
|
|
2012
|
|
3 |
p. 447-475
|
artikel
|
| 71 |
Duality for pathwise superhedging in continuous time
|
Bartl, Daniel
|
|
2019
|
|
3 |
p. 697-728
|
artikel
|
| 72 |
Duality theory for robust utility maximisation
|
Bartl, Daniel
|
|
|
|
3 |
p. 469-503
|
artikel
|
| 73 |
Dynamic no-good-deal pricing measures and extension theorems for linear operators on L∞
|
Bion-Nadal, Jocelyne
|
|
2012
|
|
3 |
p. 587-613
|
artikel
|
| 74 |
Editorial
|
Korn, Ralf
|
|
2009
|
|
3 |
p. 305-306
|
artikel
|
| 75 |
Equilibrium in risk-sharing games
|
Anthropelos, Michail
|
|
2017
|
|
3 |
p. 815-865
|
artikel
|
| 76 |
Equilibrium model with default and dynamic insider information
|
Campi, Luciano
|
|
2012
|
|
3 |
p. 565-585
|
artikel
|
| 77 |
Equilibrium returns with transaction costs
|
Bouchard, Bruno
|
|
2018
|
|
3 |
p. 569-601
|
artikel
|
| 78 |
Erratum to: Utility maximization in incomplete markets with random endowment
|
Cvitanić, Jaksa
|
|
2017
|
|
3 |
p. 867-872
|
artikel
|
| 79 |
Exercise regions of American options on several assets
|
Villeneuve, Stephane
|
|
1999
|
|
3 |
p. 295-322
|
artikel
|
| 80 |
Explosion in the quasi-Gaussian HJM model
|
Pirjol, Dan
|
|
2018
|
|
3 |
p. 643-666
|
artikel
|
| 81 |
Exponential moments for HJM models with jumps
|
Jakubowski, Jacek
|
|
2007
|
|
3 |
p. 429-445
|
artikel
|
| 82 |
Exponential utility maximization under partial information
|
Mania, Michael
|
|
2009
|
|
3 |
p. 419-448
|
artikel
|
| 83 |
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
|
Hambly, Ben
|
|
|
|
3 |
p. 757-794
|
artikel
|
| 84 |
Forward equations for option prices in semimartingale models
|
Bentata, Amel
|
|
2015
|
|
3 |
p. 617-651
|
artikel
|
| 85 |
Forward rate models with linear volatilities
|
Barski, Michał
|
|
2011
|
|
3 |
p. 537-560
|
artikel
|
| 86 |
Fractional Brownian motion, random walks and binary market models
|
Sottinen, Tommi
|
|
2001
|
|
3 |
p. 343-355
|
artikel
|
| 87 |
Functional convergence of Snell envelopes: Applications to American options approximations
|
Mulinacci, Sabrina
|
|
1998
|
|
3 |
p. 311-327
|
artikel
|
| 88 |
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
|
Arduca, Maria
|
|
|
|
3 |
p. 831-862
|
artikel
|
| 89 |
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
|
Strong, Winslow
|
|
2014
|
|
3 |
p. 487-514
|
artikel
|
| 90 |
Hedge and mutual funds’ fees and the separation of private investments
|
Guasoni, Paolo
|
|
2015
|
|
3 |
p. 473-507
|
artikel
|
| 91 |
Hedging American contingent claims with constrained portfolios
|
Karatzas, Ioannis
|
|
1998
|
|
3 |
p. 215-258
|
artikel
|
| 92 |
Hedging of a credit default swaption in the CIR default intensity model
|
Bielecki, Tomasz R.
|
|
2010
|
|
3 |
p. 541-572
|
artikel
|
| 93 |
Implied interest rate pricing models
|
Hunt, P.J.
|
|
1998
|
|
3 |
p. 275-293
|
artikel
|
| 94 |
In discrete time a local martingale is a martingale under an equivalent probability measure
|
Kabanov, Yuri
|
|
2008
|
|
3 |
p. 293-297
|
artikel
|
| 95 |
Integro-differential equations for option prices in exponential Lévy models
|
Cont, Rama
|
|
2005
|
|
3 |
p. 299-325
|
artikel
|
| 96 |
Introduction to a theory of value coherent with the no-arbitrage principle
|
Frittelli, Marco
|
|
2000
|
|
3 |
p. 275-297
|
artikel
|
| 97 |
Laws of large numbers for Hayashi–Yoshida-type functionals
|
Martin, Ole
|
|
2019
|
|
3 |
p. 451-500
|
artikel
|
| 98 |
Liquidity risk and arbitrage pricing theory
|
Çetin, Umut
|
|
2004
|
|
3 |
p. 311-341
|
artikel
|
| 99 |
Liquidity risk, price impacts and the replication problem
|
Roch, Alexandre F.
|
|
2011
|
|
3 |
p. 399-419
|
artikel
|
| 100 |
Local martingales and the fundamental asset pricing theorems in the discrete-time case
|
Jacod, J.
|
|
1998
|
|
3 |
p. 259-273
|
artikel
|
| 101 |
Log-optimal and numéraire portfolios for market models stopped at a random time
|
Choulli, Tahir
|
|
|
|
3 |
p. 535-585
|
artikel
|
| 102 |
Long-term factorization in Heath–Jarrow–Morton models
|
Qin, Likuan
|
|
2018
|
|
3 |
p. 621-641
|
artikel
|
| 103 |
Long-term optimal portfolios with floor
|
Sekine, Jun
|
|
2012
|
|
3 |
p. 369-401
|
artikel
|
| 104 |
Lookback options and diffusion hitting times: A spectral expansion approach
|
Linetsky, Vadim
|
|
2004
|
|
3 |
p. 373-398
|
artikel
|
| 105 |
Minimal Hellinger martingale measures of order q
|
Choulli, Tahir
|
|
2007
|
|
3 |
p. 399-427
|
artikel
|
| 106 |
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
|
Westray, Nicholas
|
|
2010
|
|
3 |
p. 501-512
|
artikel
|
| 107 |
Model-independent bounds for option prices—a mass transport approach
|
Beiglböck, Mathias
|
|
2013
|
|
3 |
p. 477-501
|
artikel
|
| 108 |
Modeling the term structure of interest rates with general short-rate models
|
Takamizawa, Hideyuki
|
|
2003
|
|
3 |
p. 323-335
|
artikel
|
| 109 |
Modelling of stock price changes: A real analysis approach
|
Norvaiša, Rimas
|
|
2000
|
|
3 |
p. 343-369
|
artikel
|
| 110 |
Multivariate risks and depth-trimmed regions
|
Cascos, Ignacio
|
|
2007
|
|
3 |
p. 373-397
|
artikel
|
| 111 |
Multivariate utility maximization with proportional transaction costs
|
Campi, Luciano
|
|
2010
|
|
3 |
p. 461-499
|
artikel
|
| 112 |
No-arbitrage criteria for financial markets with efficient friction
|
Kabanov, Yuri
|
|
2002
|
|
3 |
p. 371-382
|
artikel
|
| 113 |
Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty
|
Beissner, Patrick
|
|
2018
|
|
3 |
p. 603-620
|
artikel
|
| 114 |
On a Heath–Jarrow–Morton approach for stock options
|
Kallsen, Jan
|
|
2015
|
|
3 |
p. 583-615
|
artikel
|
| 115 |
On arbitrages arising with honest times
|
Fontana, Claudio
|
|
2014
|
|
3 |
p. 515-543
|
artikel
|
| 116 |
On a test for a parametric form of volatility in continuous time financial models
|
Dette, Holger
|
|
2003
|
|
3 |
p. 363-384
|
artikel
|
| 117 |
On irregular functionals of SDEs and the Euler scheme
|
Avikainen, Rainer
|
|
2009
|
|
3 |
p. 381-401
|
artikel
|
| 118 |
On Leland's strategy of option pricing with transactions costs
|
Kabanov, Yuri M.
|
|
1997
|
|
3 |
p. 239-250
|
artikel
|
| 119 |
On measuring nonlinear risk with scarce observations
|
Cherny, Alexander
|
|
2009
|
|
3 |
p. 375-395
|
artikel
|
| 120 |
On perpetual American put valuation and first-passage in a regime-switching model with jumps
|
Jiang, Zhengjun
|
|
2008
|
|
3 |
p. 331-355
|
artikel
|
| 121 |
On q-optimal martingale measures in exponential Lévy models
|
Bender, Christian
|
|
2008
|
|
3 |
p. 381-410
|
artikel
|
| 122 |
On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property
|
Kabanov, Yuri
|
|
2003
|
|
3 |
p. 403-411
|
artikel
|
| 123 |
On the construction of finite dimensional realizations for nonlinear forward rate models
|
Björk, Tomas
|
|
2002
|
|
3 |
p. 303-331
|
artikel
|
| 124 |
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
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Asmussen, Søren
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p. 383-416
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| 125 |
Optimal capital and risk allocations for law- and cash-invariant convex functions
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Filipović, Damir
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2008
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3 |
p. 423-439
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| 126 |
Optimal dividend distribution under Markov regime switching
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Jiang, Zhengjun
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2012
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3 |
p. 449-476
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artikel
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| 127 |
Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
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Bai, Lihua
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2012
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3 |
p. 477-511
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| 128 |
Optimal execution with multiplicative price impact and incomplete information on the return
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Dammann, Felix
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3 |
p. 713-768
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| 129 |
Optimal exercise of executive stock options
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Rogers, L. C. G.
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2007
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3 |
p. 357-372
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artikel
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| 130 |
Optimal investment for investors with state dependent income, and for insurers
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Hipp, Christian
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2003
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3 |
p. 299-321
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| 131 |
Optimal lifetime consumption and investment under a drawdown constraint
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Elie, Romuald
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2008
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3 |
p. 299-330
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| 132 |
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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Benth, Fred Espen
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2001
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3 |
p. 275-303
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| 133 |
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
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Asmussen, Søren
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2000
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3 |
p. 299-324
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| 134 |
Optimal time to invest when the price processes are geometric Brownian motions
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Hu, Yaozhong
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1998
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3 |
p. 295-310
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| 135 |
Option hedging for small investors under liquidity costs
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Çetin, Umut
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2009
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3 |
p. 317-341
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| 136 |
Options on a traded account: Vacation calls, vacation puts and passport options
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Shreve, Steven E.
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2000
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3 |
p. 255-274
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| 137 |
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
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Gobet, Emmanuel
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3 |
p. 633-675
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| 138 |
Perturbed Brownian motion and its application to Parisian option pricing
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Dassios, Angelos
|
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2009
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3 |
p. 473-494
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| 139 |
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
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Bichuch, Maxim
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2014
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3 |
p. 651-694
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| 140 |
Pricing contingent claims with credit risk: Asymptotic expansion approach
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Muroi, Yoshifumi
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2005
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3 |
p. 415-427
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| 141 |
Pricing equity default swaps under the jump-to-default extended CEV model
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Mendoza-Arriaga, Rafael
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2010
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3 |
p. 513-540
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| 142 |
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
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Nielsen, J. Aase
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2002
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3 |
p. 355-370
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artikel
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| 143 |
Pseudo linear pricing rule for utility indifference valuation
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Henderson, Vicky
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2014
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3 |
p. 593-615
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| 144 |
Quantile hedging
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Föllmer, Hans
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1999
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3 |
p. 251-273
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| 145 |
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
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Zanger, Daniel Z.
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2013
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3 |
p. 503-534
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| 146 |
Quasi-Monte Carlo methods with applications in finance
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L’Ecuyer, Pierre
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2009
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3 |
p. 307-349
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| 147 |
Realised volatility and parametric estimation of Heston SDEs
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Azencott, Robert
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3 |
p. 723-755
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| 148 |
Representation formulas for Malliavin derivatives of diffusion processes
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Detemple, Jérôme
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2005
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3 |
p. 349-367
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| 149 |
Representation of the penalty term of dynamic concave utilities
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Delbaen, Freddy
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2009
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3 |
p. 449-472
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| 150 |
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing
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Ivanov, Roman V.
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2016
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3 |
p. 805
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| 151 |
Risk bounds for factor models
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Bernard, Carole
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2017
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3 |
p. 631-659
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| 152 |
Robustness of the Black-Scholes approach in the case of options on several assets
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Romagnoli, Silvia
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2000
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3 |
p. 325-341
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| 153 |
Robust pricing and hedging of double no-touch options
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Cox, Alexander M. G.
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2011
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p. 573-605
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| 154 |
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
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Cox, Alexander M. G.
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2016
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3 |
p. 669-704
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| 155 |
Robust pricing–hedging dualities in continuous time
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Hou, Zhaoxu
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2018
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p. 511-567
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| 156 |
Robust state-dependent mean–variance portfolio selection: a closed-loop approach
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Han, Bingyan
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p. 529-561
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| 157 |
Robust utility maximisation in markets with transaction costs
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Chau, Huy N.
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2019
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p. 677-696
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Robust utility maximization for a diffusion market model with misspecified coefficients
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Tevzadze, Revaz
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2012
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p. 535-563
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| 159 |
Rogue traders
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Dong, Huayuan
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p. 539-603
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| 160 |
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
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Fouque, Jean-Pierre
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2016
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p. 543-588
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Sensitivity analysis of the utility maximisation problem with respect to model perturbations
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Mostovyi, Oleksii
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2019
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p. 595-640
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| 162 |
Set-valued dynamic risk measures for processes and for vectors
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Chen, Yanhong
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p. 505-533
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| 163 |
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
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Collamore, Jeffrey F.
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2007
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p. 299-322
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Small transaction costs, absence of arbitrage and consistent price systems
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Grépat, Julien
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2011
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p. 357-368
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| 165 |
Solving optimal stopping problems under model uncertainty via empirical dual optimisation
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Belomestny, Denis
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p. 461-503
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| 166 |
Static hedging under maturity mismatch
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Mayer, Philipp A.
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2014
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p. 509-539
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| 167 |
Taylor approximation of incomplete Radner equilibrium models
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Choi, Jin Hyuk
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2015
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p. 653-679
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The exact Taylor formula of the implied volatility
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Pagliarani, Stefano
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2017
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p. 661-718
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The financial value of a weak information on a financial market
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Baudoin, Fabrice
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2004
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p. 415-435
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The Jacobi stochastic volatility model
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Ackerer, Damien
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2018
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p. 667-700
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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
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Dassios, Angelos
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2016
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p. 773-804
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| 172 |
The Lévy LIBOR model
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Eberlein, Ernst
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2005
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p. 327-348
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The numeraire portfolio for unbounded semimartingales
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Becherer, Dirk
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2001
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p. 327-341
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| 174 |
The rate of convergence of the binomial tree scheme
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Walsh, John B.
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2003
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p. 337-361
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| 175 |
The role of measurability in game-theoretic probability
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Vovk, Vladimir
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2017
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p. 719-739
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The self-financing equation in limit order book markets
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Carmona, René
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2019
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p. 729-759
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The space of outcomes of semi-static trading strategies need not be closed
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Acciaio, Beatrice
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2017
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p. 741-751
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| 178 |
Time-dynamic evaluations under non-monotone information generated by marked point processes
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Christiansen, Marcus C.
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p. 563-596
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| 179 |
Time reversal and last passage time of diffusions with applications to credit risk management
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Egami, Masahiko
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p. 795-825
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| 180 |
Trading strategies generated by Lyapunov functions
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Karatzas, Ioannis
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2017
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p. 753-787
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| 181 |
Universal bounds for asset prices in heterogeneous economies
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Malamud, Semyon
|
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2008
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p. 411-422
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| 182 |
Valuation of credit default swaps and swaptions
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Jamshidian, Farshid
|
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2004
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3 |
p. 343-371
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| 183 |
Weighted norm inequalities and hedging in incomplete markets
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Delbaen, Freddy
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1997
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p. 181-227
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| 184 |
Weighted V@R and its Properties
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Cherny, A. S.
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2006
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p. 367-393
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