The following pages link to Finance and Stochastics (Q135345):
Displaying 50 items.
- On arbitrages arising with honest times (Q457179) (← links)
- A theory of Markovian time-inconsistent stochastic control in discrete time (Q457182) (← links)
- Pseudo linear pricing rule for utility indifference valuation (Q457184) (← links)
- Confidence sets in nonparametric calibration of exponential Lévy models (Q457186) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- An optimal execution problem with market impact (Q457189) (← links)
- Comparative and qualitative robustness for law-invariant risk measures (Q468411) (← links)
- Shifting martingale measures and the birth of a bubble as a submartingale (Q468413) (← links)
- Robust hedging with proportional transaction costs (Q468414) (← links)
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- A note on the condition of no unbounded profit with bounded risk (Q468417) (← links)
- Optimal portfolios in commodity futures markets (Q468419) (← links)
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- A correction note to ``Discrete time hedging errors for options with irregular payoffs'' (Q468422) (← links)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- A mathematical treatment of bank monitoring incentives (Q471170) (← links)
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- Beyond cash-additive risk measures: when changing the numéraire fails (Q471176) (← links)
- Efficient discretization of stochastic integrals (Q471177) (← links)
- Stochastic mortality models: an infinite-dimensional approach (Q471180) (← links)
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) (Q471182) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Co-monotonicity of optimal investments and the design of structured financial products (Q483696) (← links)
- Arbitrage and deflators in illiquid markets (Q483698) (← links)
- Optimal consumption policies in illiquid markets (Q483699) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- Unbiased and efficient Greeks of financial options (Q483704) (← links)
- A note on the existence of the power investor's optimizer (Q483705) (← links)
- Option pricing with quadratic volatility: a revisit (Q483708) (← links)
- Asset price bubbles from heterogeneous beliefs about~mean reversion rates (Q483710) (← links)
- Ruin probabilities under general investments and heavy-tailed claims (Q483712) (← links)
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- Pension funds with a minimum guarantee: a stochastic control approach (Q483716) (← links)
- On a class of law invariant convex risk measures (Q483720) (← links)
- The efficient hedging problem for American options (Q483722) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- A stochastic control problem with delay arising in a pension fund model (Q483928) (← links)
- Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
- Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization (Q483931) (← links)
- Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- Robust pricing and hedging of double no-touch options (Q483935) (← links)
- On irreversible investment (Q484203) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- Optimal investment with counterparty risk: a default-density model approach (Q484210) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- A note on essential smoothness in the Heston model (Q484213) (← links)
