The following pages link to Finance and Stochastics (Q135345):
Displaying 50 items.
- The minimal entropy martingale measures for geometric Lévy processes (Q1424723) (← links)
- Arbitrage in fractional Brownian motion models (Q1424724) (← links)
- Efficient hedging: cost versus shortfall risk (Q1584192) (← links)
- Option pricing impact of alternative continuous-time dynamics (Q1584193) (← links)
- Superreplication in stochastic volatility models and optimal stopping (Q1584194) (← links)
- Discrete time option pricing with flexible volatility estimation (Q1584195) (← links)
- Incompleteness of markets driven by a mixed diffusion (Q1584197) (← links)
- Irreversible investment problems (Q1584199) (← links)
- Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
- Equilibrium returns with transaction costs (Q1650939) (← links)
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty (Q1650941) (← links)
- Long-term factorization in Heath-Jarrow-Morton models (Q1650942) (← links)
- Explosion in the quasi-Gaussian HJM model (Q1650943) (← links)
- The Jacobi stochastic volatility model (Q1650944) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- Dynamic programming approach to principal-agent problems (Q1691442) (← links)
- Optimal liquidation under stochastic liquidity (Q1691443) (← links)
- Time-consistent stopping under decreasing impatience (Q1691445) (← links)
- Financial equilibrium with asymmetric information and random horizon (Q1691446) (← links)
- No-arbitrage under a class of honest times (Q1691448) (← links)
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
- Replicating portfolio approach to capital calculation (Q1691451) (← links)
- An enlargement of filtration formula with applications to multiple non-ordered default times (Q1691452) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- A risk-neutral equilibrium leading to uncertain volatility pricing (Q1709602) (← links)
- An expansion in the model space in the context of utility maximization (Q1709603) (← links)
- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Q1709604) (← links)
- Risk measures based on behavioural economics theory (Q1709605) (← links)
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces (Q1709606) (← links)
- Perfect hedging under endogenous permanent market impacts (Q1709607) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q1709609) (← links)
- A two-dimensional control problem arising from dynamic contracting theory (Q1711718) (← links)
- Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719) (← links)
- On the free boundary of an annuity purchase (Q1711720) (← links)
- On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
- A paradox in time-consistency in the mean-variance problem? (Q1711723) (← links)
- Minimax theorems for American options without time-consistency (Q1711726) (← links)
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (Q1711728) (← links)
- Incorporating signals into optimal trading (Q1739054) (← links)
- Consumption, investment and healthcare with aging (Q1739055) (← links)
- Robust bounds for the American put (Q1739057) (← links)
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices (Q1739058) (← links)
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059) (← links)
- Pricing growth-rate risk (Q1761429) (← links)
- Cross hedging with stochastic correlation (Q1761431) (← links)
- Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component (Q1761432) (← links)
- Tangent Lévy market models (Q1761433) (← links)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs (Q1761435) (← links)
