The following pages link to Finance and Stochastics (Q135345):
Displaying 50 items.
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684) (← links)
- Basket CDS pricing with interacting intensities (Q964685) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- MDP algorithms for portfolio optimization problems in pure jump markets (Q964693) (← links)
- Interaction particle systems for the computation of rare credit portfolio losses (Q964695) (← links)
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain (Q1003334) (← links)
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model (Q1003336) (← links)
- Optimal exercise of executive stock options (Q1003338) (← links)
- Multivariate risks and depth-trimmed regions (Q1003339) (← links)
- Minimal Hellinger martingale measures of order \(q\) (Q1003340) (← links)
- Exponential moments for HJM models with jumps (Q1003342) (← links)
- In discrete time a local martingale is a martingale under an equivalent probability measure (Q1003343) (← links)
- Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Consumption processes and positively homogeneous projection properties (Q1003347) (← links)
- On \(q\)-optimal martingale measures in exponential Lévy models (Q1003349) (← links)
- Universal bounds for asset prices in heterogeneous economies (Q1003350) (← links)
- Optimal capital and risk allocations for law- and cash-invariant convex functions (Q1003351) (← links)
- Robust hedging of the lookback option (Q1265766) (← links)
- Path dependent options on yields in the affine term structure model (Q1265769) (← links)
- Option pricing with transaction costs and a nonlinear Black-Scholes equation (Q1265770) (← links)
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales (Q1265771) (← links)
- Optimization of consumption with labor income (Q1265773) (← links)
- Weighted norm inequalities and hedging in incomplete markets (Q1267815) (← links)
- An application of hidden Markov models to asset allocation problems (Q1267816) (← links)
- On Leland's strategy of option pricing with transactions costs (Q1267818) (← links)
- A note on the existence of unique equivalent martingale measures in a Markovian setting (Q1267819) (← links)
- Stock market prices and long-range dependence (Q1297904) (← links)
- Turnpike behavior of long-term investments (Q1297906) (← links)
- A closed-form solution to the problem of super-replication under transaction costs (Q1297907) (← links)
- Connecting discrete and continuous path-dependent options (Q1297909) (← links)
- Dynamic programming and mean-variance hedging (Q1297911) (← links)
- Hedging contingent claims on semimartingales (Q1297912) (← links)
- Optimal stopping for a diffusion with jumps (Q1297914) (← links)
- Hedging and liquidation under transaction costs in currency markets (Q1297915) (← links)
- Optimal trading of a security when there are taxes and transaction costs (Q1297916) (← links)
- A generalization of the mutual fund theorem (Q1297918) (← links)
- Exploding hedging errors for digital options (Q1297920) (← links)
- Complete markets with discontinuous security price (Q1297922) (← links)
- A short term interest rate model (Q1297923) (← links)
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (Q1367701) (← links)
- On the range of options prices (Q1367702) (← links)
- Towards a general theory of bond markets (Q1367703) (← links)
- On a general class of one-factor models for the term structure of interest rates (Q1367942) (← links)
- A hyperbolic diffusion model for stock prices (Q1367943) (← links)
- Scenario simulation: Theory and methodology (Q1367945) (← links)
- Irreversible investment and industry equilibrium (Q1367946) (← links)
