| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A BSDE approach to fair bilateral pricing under endogenous collateralization
|
Nie, Tianyang
|
|
2016
|
|
4 |
p. 855-900
|
artikel
|
| 2 |
A concept of copula robustness and its applications in quantitative risk management
|
Zähle, Henryk
|
|
|
|
4 |
p. 825-875
|
artikel
|
| 3 |
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
|
Cuchiero, Christa
|
|
2015
|
|
4 |
p. 743-761
|
artikel
|
| 4 |
A counter-example to an option pricing formula under transaction costs
|
Roux, Alet
|
|
2006
|
|
4 |
p. 575-578
|
artikel
|
| 5 |
Additive logistic processes in option pricing
|
Carr, Peter
|
|
|
|
4 |
p. 689-724
|
artikel
|
| 6 |
A direct solution method for pricing options involving the maximum process
|
Egami, Masahiko
|
|
2017
|
|
4 |
p. 967-993
|
artikel
|
| 7 |
A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates
|
Glau, Kathrin
|
|
2016
|
|
4 |
p. 1021-1059
|
artikel
|
| 8 |
Aggregation-robustness and model uncertainty of regulatory risk measures
|
Embrechts, Paul
|
|
2015
|
|
4 |
p. 763-790
|
artikel
|
| 9 |
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
|
Grandits, Peter
|
|
2010
|
|
4 |
p. 569-591
|
artikel
|
| 10 |
American and European options in multi-factor jump-diffusion models, near expiry
|
Levendorskiǐ, Sergei
|
|
2008
|
|
4 |
p. 541-560
|
artikel
|
| 11 |
American Parisian options
|
Chesney, Marc
|
|
2006
|
|
4 |
p. 475-506
|
artikel
|
| 12 |
An analysis of a least squares regression method for American option pricing
|
Clément, Emmanuelle
|
|
2002
|
|
4 |
p. 449-471
|
artikel
|
| 13 |
An application of fractional differential equations to risk theory
|
Constantinescu, Corina D.
|
|
2019
|
|
4 |
p. 1001-1024
|
artikel
|
| 14 |
An approximation pricing algorithm in an incomplete market: A differential geometric approach
|
Gao, Yuan
|
|
2004
|
|
4 |
p. 501-523
|
artikel
|
| 15 |
Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
|
Norberg, Ragnar
|
|
2005
|
|
4 |
p. 519-537
|
artikel
|
| 16 |
An optimal consumption problem in finite time with a constraint on the ruin probability
|
Grandits, Peter
|
|
2015
|
|
4 |
p. 791-847
|
artikel
|
| 17 |
A note on essential smoothness in the Heston model
|
Forde, Martin
|
|
2011
|
|
4 |
p. 781-784
|
artikel
|
| 18 |
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
|
Goldys, Beniamin
|
|
1997
|
|
4 |
p. 345-352
|
artikel
|
| 19 |
A note on the large homogeneous portfolio approximation with the Student-t copula
|
Schloegl, Lutz
|
|
2005
|
|
4 |
p. 577-584
|
artikel
|
| 20 |
Another look at the integral of exponential Brownian motion and the pricing of Asian options
|
Lyasoff, Andrew
|
|
2016
|
|
4 |
p. 1061-1096
|
artikel
|
| 21 |
Applications of Malliavin calculus to Monte Carlo methods in finance
|
Fournié, Eric
|
|
1999
|
|
4 |
p. 391-412
|
artikel
|
| 22 |
Arbitrage-free market models for option prices: the multi-strike case
|
Schweizer, Martin
|
|
2008
|
|
4 |
p. 469-505
|
artikel
|
| 23 |
Arbitrage in fractional Brownian motion models
|
Cheridito, Patrick
|
|
2003
|
|
4 |
p. 533-553
|
artikel
|
| 24 |
Asian options and meromorphic Lévy processes
|
Hackmann, D.
|
|
2014
|
|
4 |
p. 825-844
|
artikel
|
| 25 |
A simple regime switching term structure model
|
Hansen, Asbjørn T.
|
|
2000
|
|
4 |
p. 409-429
|
artikel
|
| 26 |
Asset prices in segmented and integrated markets
|
Guasoni, Paolo
|
|
|
|
4 |
p. 939-980
|
artikel
|
| 27 |
Asset pricing with dynamically inconsistent agents
|
Khapko, Mariana
|
|
|
|
4 |
p. 1017-1046
|
artikel
|
| 28 |
A stochastic control perspective on term structure models with roll-over risk
|
Fontana, Claudio
|
|
|
|
4 |
p. 903-932
|
artikel
|
| 29 |
A super-martingale property of the optimal portfolio process
|
Schachermayer, Walter
|
|
2003
|
|
4 |
p. 433-456
|
artikel
|
| 30 |
A super-replication theorem in Kabanov’s model of transaction costs
|
Campi, Luciano
|
|
2006
|
|
4 |
p. 579-596
|
artikel
|
| 31 |
Asymptotic analysis for stochastic volatility: martingale expansion
|
Fukasawa, Masaaki
|
|
2010
|
|
4 |
p. 635-654
|
artikel
|
| 32 |
Asymptotic arbitrage with small transaction costs
|
Klein, Irene
|
|
2014
|
|
4 |
p. 917-939
|
artikel
|
| 33 |
Asymptotic behaviour of mean-quantile efficient portfolios
|
Dmitrašinović-Vidović, Gordana
|
|
2006
|
|
4 |
p. 529-551
|
artikel
|
| 34 |
A theory of bonus in life insurance
|
Norberg, Ragnar
|
|
1999
|
|
4 |
p. 373-390
|
artikel
|
| 35 |
Black and Scholes pricing and markets with transaction costs: An example
|
Reisman, Haim
|
|
2001
|
|
4 |
p. 549-555
|
artikel
|
| 36 |
Bond pricing in a hidden Markov model of the short rate
|
Landén, Camilla
|
|
2000
|
|
4 |
p. 371-389
|
artikel
|
| 37 |
Bottleneck options
|
Ott, Curdin
|
|
2013
|
|
4 |
p. 845-872
|
artikel
|
| 38 |
Bubbles in discrete-time models
|
Herdegen, Martin
|
|
|
|
4 |
p. 899-925
|
artikel
|
| 39 |
Call for papers for a special issue of Finance and Stochastics on “Computational Methods in Finance”
|
|
|
2007
|
|
4 |
p. 603
|
artikel
|
| 40 |
Call for papers for a special issue of Finance and Stochastics on “Vector- and set-valued methods in stochastic finance and related areas”
|
|
|
2019
|
|
4 |
p. 1079-1080
|
artikel
|
| 41 |
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
|
Ackermann, Julia
|
|
|
|
4 |
p. 757-810
|
artikel
|
| 42 |
Complete and competitive financial markets in a complex world
|
Cassese, Gianluca
|
|
|
|
4 |
p. 659-688
|
artikel
|
| 43 |
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
|
Feng, Liming
|
|
2009
|
|
4 |
p. 501-529
|
artikel
|
| 44 |
Conditional and dynamic convex risk measures
|
Detlefsen, Kai
|
|
2005
|
|
4 |
p. 539-561
|
artikel
|
| 45 |
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem
|
Avanesyan, Levon
|
|
|
|
4 |
p. 981-1011
|
artikel
|
| 46 |
Continuous-time term structure models: Forward measure approach
|
Musiela, Marek
|
|
1997
|
|
4 |
p. 261-291
|
artikel
|
| 47 |
Continuous-time trading and the emergence of probability
|
Vovk, Vladimir
|
|
2012
|
|
4 |
p. 561-609
|
artikel
|
| 48 |
Convergence of the equilibrium prices in a family of financial models
|
Jouini, Elyès
|
|
2003
|
|
4 |
p. 491-507
|
artikel
|
| 49 |
Convex duality in optimal investment and contingent claim valuation in illiquid markets
|
Pennanen, Teemu
|
|
2018
|
|
4 |
p. 733-771
|
artikel
|
| 50 |
Convex measures of risk and trading constraints
|
Föllmer, Hans
|
|
2002
|
|
4 |
p. 429-447
|
artikel
|
| 51 |
Counterparty risk and funding: immersion and beyond
|
Crépey, Stéphane
|
|
2016
|
|
4 |
p. 901-930
|
artikel
|
| 52 |
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
|
Gonon, Lukas
|
|
|
|
4 |
p. 615-657
|
artikel
|
| 53 |
Discount models
|
Filipović, Damir
|
|
|
|
4 |
p. 933-946
|
artikel
|
| 54 |
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
|
Li, Lingfei
|
|
2015
|
|
4 |
p. 941-977
|
artikel
|
| 55 |
Drift dependence of optimal trade execution strategies under transient price impact
|
Lorenz, Christopher
|
|
2013
|
|
4 |
p. 743-770
|
artikel
|
| 56 |
Dual utilities on risk aggregation under dependence uncertainty
|
Wang, Ruodu
|
|
2019
|
|
4 |
p. 1025-1048
|
artikel
|
| 57 |
Dynamically consistent investment under model uncertainty: the robust forward criteria
|
Källblad, Sigrid
|
|
2018
|
|
4 |
p. 879-918
|
artikel
|
| 58 |
Dynamic credit investment in partially observed markets
|
Capponi, Agostino
|
|
2015
|
|
4 |
p. 891-939
|
artikel
|
| 59 |
Dynamic trading under integer constraints
|
Gerhold, Stefan
|
|
2018
|
|
4 |
p. 919-957
|
artikel
|
| 60 |
Editorial: Special Issue in memory of Tomas Björk
|
Schweizer, Martin
|
|
|
|
4 |
p. 863-865
|
artikel
|
| 61 |
Editorial: 20th anniversary of Finance and Stochastics
|
Schweizer, Martin
|
|
2016
|
|
4 |
p. 807-808
|
artikel
|
| 62 |
Efficient estimation of drift parameters in stochastic volatility models
|
Gloter, Arnaud
|
|
2007
|
|
4 |
p. 495-519
|
artikel
|
| 63 |
Endogenous current coupons
|
Cheng, Zhe
|
|
2017
|
|
4 |
p. 1027-1071
|
artikel
|
| 64 |
Equity portfolios generated by functions of ranked market weights
|
Fernholz, Robert
|
|
2001
|
|
4 |
p. 469-486
|
artikel
|
| 65 |
Existence and structure of stochastic equilibria with intertemporal substitution
|
Bank, Peter
|
|
2001
|
|
4 |
p. 487-509
|
artikel
|
| 66 |
Extended weak convergence and utility maximisation with proportional transaction costs
|
Bayraktar, Erhan
|
|
|
|
4 |
p. 1013-1034
|
artikel
|
| 67 |
Extreme at-the-money skew in a local volatility model
|
Pigato, Paolo
|
|
2019
|
|
4 |
p. 827-859
|
artikel
|
| 68 |
Fast and accurate pricing of barrier options under Lévy processes
|
Kudryavtsev, Oleg
|
|
2009
|
|
4 |
p. 531-562
|
artikel
|
| 69 |
Filtration shrinkage, the structure of deflators, and failure of market completeness
|
Kardaras, Constantinos
|
|
|
|
4 |
p. 871-901
|
artikel
|
| 70 |
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
|
Klüppelberg, Claudia
|
|
2019
|
|
4 |
p. 795-826
|
artikel
|
| 71 |
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
|
Belak, Christoph
|
|
2019
|
|
4 |
p. 861-888
|
artikel
|
| 72 |
Forward transition rates
|
Buchardt, Kristian
|
|
2019
|
|
4 |
p. 975-999
|
artikel
|
| 73 |
FTAP in finite discrete time with transaction costs by utility maximization
|
Sass, Jörn
|
|
2014
|
|
4 |
p. 805-823
|
artikel
|
| 74 |
Game options
|
Kifer, Yuri
|
|
2000
|
|
4 |
p. 443-463
|
artikel
|
| 75 |
Generic market models
|
Pietersz, Raoul
|
|
2006
|
|
4 |
p. 507-528
|
artikel
|
| 76 |
Horizon dependence of utility optimizers in incomplete models
|
Larsen, Kasper
|
|
2012
|
|
4 |
p. 779-801
|
artikel
|
| 77 |
How non-arbitrage, viability and numéraire portfolio are related
|
Choulli, Tahir
|
|
2015
|
|
4 |
p. 719-741
|
artikel
|
| 78 |
Hybrid scheme for Brownian semistationary processes
|
Bennedsen, Mikkel
|
|
2017
|
|
4 |
p. 931-965
|
artikel
|
| 79 |
Implied savings accounts are unique
|
Döberlein, Frank
|
|
2000
|
|
4 |
p. 431-442
|
artikel
|
| 80 |
In memoriam: Tomas Björk (1947–2021)
|
Gaspar, Raquel M.
|
|
|
|
4 |
p. 867-885
|
artikel
|
| 81 |
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
|
Campi, Luciano
|
|
2007
|
|
4 |
p. 591-602
|
artikel
|
| 82 |
Interacting particle systems for the computation of rare credit portfolio losses
|
Carmona, René
|
|
2009
|
|
4 |
p. 613-633
|
artikel
|
| 83 |
Invariant measures for the Musiela equation with deterministic diffusion term
|
Vargiolu, Tiziano
|
|
1999
|
|
4 |
p. 483-492
|
artikel
|
| 84 |
Jacobi stochastic volatility factor for the LIBOR market model
|
Arrouy, Pierre-Edouard
|
|
|
|
4 |
p. 771-823
|
artikel
|
| 85 |
LIBOR and swap market models and measures
|
Jamshidian, Farshid
|
|
1997
|
|
4 |
p. 293-330
|
artikel
|
| 86 |
Liquidity management with decreasing returns to scale and secured credit line
|
Pierre, Erwan
|
|
2016
|
|
4 |
p. 809-854
|
artikel
|
| 87 |
Local martingales, bubbles and option prices
|
Cox, Alexander M. G.
|
|
2005
|
|
4 |
p. 477-492
|
artikel
|
| 88 |
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
|
Leblanc, Boris
|
|
1998
|
|
4 |
p. 399-408
|
artikel
|
| 89 |
Market viability via absence of arbitrage of the first kind
|
Kardaras, Constantinos
|
|
2012
|
|
4 |
p. 651-667
|
artikel
|
| 90 |
Markov-functional interest rate models
|
Hunt, Phil
|
|
2000
|
|
4 |
p. 391-408
|
artikel
|
| 91 |
Maturity cycles in implied volatility
|
Fouque, Jean-Pierre
|
|
2004
|
|
4 |
p. 451-477
|
artikel
|
| 92 |
MDP algorithms for portfolio optimization problems in pure jump markets
|
Bäuerle, Nicole
|
|
2009
|
|
4 |
p. 591-611
|
artikel
|
| 93 |
Mean square error for the Leland–Lott hedging strategy: convex pay-offs
|
Denis, Emmanuel
|
|
2010
|
|
4 |
p. 625-667
|
artikel
|
| 94 |
Mean-variance hedging with oil futures
|
Wang, Liao
|
|
2013
|
|
4 |
p. 641-683
|
artikel
|
| 95 |
Minimal realizations of interest rate models
|
Björk, Tomas
|
|
1999
|
|
4 |
p. 413-432
|
artikel
|
| 96 |
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
|
Goll, Thomas
|
|
2001
|
|
4 |
p. 557-581
|
artikel
|
| 97 |
Model-independent hedging strategies for variance swaps
|
Hobson, David
|
|
2012
|
|
4 |
p. 611-649
|
artikel
|
| 98 |
Model uncertainty, recalibration, and the emergence of delta–vega hedging
|
Herrmann, Sebastian
|
|
2017
|
|
4 |
p. 873-930
|
artikel
|
| 99 |
Multi-dimensional optimal trade execution under stochastic resilience
|
Horst, Ulrich
|
|
2019
|
|
4 |
p. 889-923
|
artikel
|
| 100 |
Multilevel dual approach for pricing American style derivatives
|
Belomestny, Denis
|
|
2013
|
|
4 |
p. 717-742
|
artikel
|
| 101 |
Multilevel Monte Carlo for exponential Lévy models
|
Giles, Michael B.
|
|
2017
|
|
4 |
p. 995-1026
|
artikel
|
| 102 |
No arbitrage and closure results for trading cones with transaction costs
|
Jacka, Saul
|
|
2008
|
|
4 |
p. 583-600
|
artikel
|
| 103 |
No arbitrage of the first kind and local martingale numéraires
|
Kabanov, Yuri
|
|
2016
|
|
4 |
p. 1097-1108
|
artikel
|
| 104 |
No-arbitrage up to random horizon for quasi-left-continuous models
|
Aksamit, Anna
|
|
2017
|
|
4 |
p. 1103-1139
|
artikel
|
| 105 |
Numerical methods for Lévy processes
|
Hilber, N.
|
|
2009
|
|
4 |
p. 471-500
|
artikel
|
| 106 |
On dynamic measures of risk
|
Cvitanić, Jakša
|
|
1999
|
|
4 |
p. 451-482
|
artikel
|
| 107 |
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
|
Madan, D.
|
|
2017
|
|
4 |
p. 1073-1102
|
artikel
|
| 108 |
On irreversible investment
|
Riedel, Frank
|
|
2010
|
|
4 |
p. 607-633
|
artikel
|
| 109 |
On Kolmogorov equations for anisotropic multivariate Lévy processes
|
Reich, N.
|
|
2009
|
|
4 |
p. 527-567
|
artikel
|
| 110 |
On optimal portfolio diversification with respect to extreme risks
|
Mainik, Georg
|
|
2010
|
|
4 |
p. 593-623
|
artikel
|
| 111 |
On ruin probabilities with investments in a risky asset with a regime-switching price
|
Kabanov, Yuri
|
|
|
|
4 |
p. 877-897
|
artikel
|
| 112 |
On the calibration of local jump-diffusion asset price models
|
Kindermann, S.
|
|
2011
|
|
4 |
p. 685-724
|
artikel
|
| 113 |
On the existence of shadow prices
|
Benedetti, Giuseppe
|
|
2012
|
|
4 |
p. 801-818
|
artikel
|
| 114 |
On the game interpretation of a shadow price process in utility maximization problems under transaction costs
|
Rokhlin, Dmitry B.
|
|
2013
|
|
4 |
p. 819-838
|
artikel
|
| 115 |
On the law of one price
|
Courtault, Jean-Michel
|
|
2004
|
|
4 |
p. 525-530
|
artikel
|
| 116 |
On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
|
Knudsen, Thomas S.
|
|
1999
|
|
4 |
p. 433-449
|
artikel
|
| 117 |
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
|
Alòs, Elisa
|
|
2007
|
|
4 |
p. 571-589
|
artikel
|
| 118 |
Optimal dividend payouts for diffusions with solvency constraints
|
Paulsen, Jostein
|
|
2003
|
|
4 |
p. 457-473
|
artikel
|
| 119 |
Optimal insurance with background risk: An analysis of general dependence structures
|
Chi, Yichun
|
|
|
|
4 |
p. 903-937
|
artikel
|
| 120 |
Optimal investment and contingent claim valuation in illiquid markets
|
Pennanen, Teemu
|
|
2014
|
|
4 |
p. 733-754
|
artikel
|
| 121 |
Optimal investment with counterparty risk: a default-density model approach
|
Jiao, Ying
|
|
2010
|
|
4 |
p. 725-753
|
artikel
|
| 122 |
Optimal investment with derivative securities
|
Ílhan, Aytaç
|
|
2005
|
|
4 |
p. 585-595
|
artikel
|
| 123 |
Optimal portfolio choice in the bond market
|
Ringer, Nathanael
|
|
2006
|
|
4 |
p. 553-573
|
artikel
|
| 124 |
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
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Benth, Fred Espen
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2001
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Optimal reduction of public debt under partial observation of the economic growth
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Callegaro, Giorgia
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Optimal risk control for a large corporation in the presence of returns on investments
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Højgaard, Bjarne
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2001
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4 |
p. 527-547
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Optimal stopping and perpetual options for Lévy processes
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Mordecki, Ernesto
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2002
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4 |
p. 473-493
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Optimization of consumption with labor income
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El Karoui, Nicole
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1998
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Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain
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Sass, Jörn
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2004
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4 |
p. 553-577
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Option pricing in the presence of natural boundaries and a quadratic diffusion term
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Rady, Sven
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Option pricing with transaction costs and a nonlinear Black-Scholes equation
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Barles, Guy
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
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Leung, Tim
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Path dependent options on yields in the affine term structure model
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Leblanc, Boris
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Pathwise superreplication via Vovk’s outer measure
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Beiglböck, Mathias
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2017
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Polynomial diffusions and applications in finance
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Filipović, Damir
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2016
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Polynomial processes and their applications to mathematical finance
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Cuchiero, Christa
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2012
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
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Cherny, Vladimir
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2013
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4 |
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Portfolio optimization under convex incentive schemes
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Bichuch, Maxim
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2014
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4 |
p. 873-915
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Present-biased lobbyists in linear–quadratic stochastic differential games
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Lazrak, Ali
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4 |
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Pricing and hedging Asian-style options on energy
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Benth, Fred Espen
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2015
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4 |
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Pricing and hedging European options with discrete-time coherent risk
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Cherny, Alexander S.
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2007
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4 |
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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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Belomestny, Denis
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2010
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4 |
p. 655-683
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Pricing by hedging and no-arbitrage beyond semimartingales
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Bender, Christian
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2008
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4 |
p. 441-468
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Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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Frey, Rüdiger
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4 |
p. 495-526
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| 145 |
Pricing options on realized variance
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Carr, Peter
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2005
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4 |
p. 453-475
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Pricing vulnerable claims in a Lévy-driven model
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Capponi, Agostino
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2014
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4 |
p. 755-789
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
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Kühn, Christoph
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4 |
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Proving regularity of the minimal probability of ruin via a game of stopping and control
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Bayraktar, Erhan
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RETRACTED ARTICLE: 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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2015
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4 |
p. 979-993
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| 150 |
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
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Acciaio, Beatrice
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2012
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4 |
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Risk-minimizing hedging strategies for insurance payment processes
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Møller, Thomas
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2001
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4 |
p. 419-446
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Risk sharing for capital requirements with multidimensional security markets
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Liebrich, Felix-Benedikt
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2019
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4 |
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Robust control and recursive utility
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Skiadas, Costis
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2003
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4 |
p. 475-489
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| 154 |
Robust hedging of the lookback option
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Hobson, David G.
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4 |
p. 329-347
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Robust representation of convex risk measures by probability measures
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Krätschmer, Volker
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2005
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4 |
p. 597-608
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| 156 |
Robust utility maximisation with intractable claims
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Li, Yunhong
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Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
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Kabanov, Yuri
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Scenario-based risk evaluation
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Second order approximations for limit order books
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Horst, Ulrich
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2018
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Semimartingale price systems in models with transaction costs beyond efficient friction
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Sensitivity analysis of long-term cash flows
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Park, Hyungbin
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2018
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p. 773-825
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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
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Chen, Zhiyong
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2008
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p. 507-540
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
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Figueroa-López, José E.
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2016
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4 |
p. 973-1020
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
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González Cázares, Jorge
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p. 671-732
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| 165 |
Smart expansion and fast calibration for jump diffusions
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Benhamou, E.
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2009
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p. 563-589
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| 166 |
Spectral calibration of exponential Lévy models
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Belomestny, Denis
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2006
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4 |
p. 449-474
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| 167 |
Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations
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Brzeźniak, Zdzisław
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2018
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4 |
p. 959-1006
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Stochastic flow approach to Dupire’s formula
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Jourdain, B.
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2007
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p. 521-535
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| 169 |
Stochastic flows and the forward measure
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Elliott, Robert J.
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2001
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4 |
p. 511-525
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| 170 |
Stochastic orders in dynamic reinsurance markets
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Møller, Thomas
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2004
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4 |
p. 479-499
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Superreplication under model uncertainty in discrete time
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Nutz, Marcel
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2014
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p. 791-803
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Thank you, Tomas!
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Gombani, Andrea
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p. 1047-1048
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The characteristic function of Gaussian stochastic volatility models: an analytic expression
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The critical price for the American put in an exponential Lévy model
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Lamberton, Damien
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2008
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p. 561-581
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The cumulant process and Esscher's change of measure
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Kallsen, Jan
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2002
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p. 397-428
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
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Benth, Fred Espen
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2005
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4 |
p. 563-575
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The existence of dominating local martingale measures
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Imkeller, Peter
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2015
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p. 685-717
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The fundamental theorem of asset pricing under transaction costs
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Guasoni, Paolo
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2012
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p. 741-777
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The interpolation of options
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Mykland, Per Aslak
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2003
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4 |
p. 417-432
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The large-maturity smile for the Heston model
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Forde, Martin
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2010
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p. 755-780
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The Leland–Toft optimal capital structure model under Poisson observations
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p. 1035-1082
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The minimal entropy martingale measures for geometric Lévy processes
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Fujiwara, Tsukasa
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2003
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p. 509-531
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The numéraire portfolio in semimartingale financial models
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Karatzas, Ioannis
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2007
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p. 447-493
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The Riesz representation theorem and weak∗ compactness of semimartingales
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p. 827-870
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Utility maximization in incomplete markets for unbounded processes
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Biagini, Sara
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2005
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4 |
p. 493-517
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Utility maximization on the real line under proportional transaction costs
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Bouchard, Bruno
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2002
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4 |
p. 495-516
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Variation and share-weighted variation swaps on time-changed Lévy processes
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Carr, Peter
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2013
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p. 685-716
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Vector-valued coherent risk measures
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Jouini, Elyés
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2004
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p. 531-552
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Weak time-derivatives and no-arbitrage pricing
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Marinacci, Massimo
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2018
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p. 1007-1036
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Wealth-path dependent utility maximization in incomplete markets
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Bouchard, Bruno
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2004
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p. 579-603
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White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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Aase, Knut
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2000
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p. 465-496
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Worst case model risk management
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Talay, Denis
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2002
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