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Publication search results
found 211 matches
- 2019
- Christoph Belak, Sören Christensen:
Utility maximisation in a factor model with constant and proportional transaction costs. Finance Stochastics 23(1): 29-96 (2019) - Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou:
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23(1): 239-273 (2019) - Delia Coculescu, Monique Jeanblanc:
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Finance Stochastics 23(2): 397-421 (2019) - Paolo Guasoni, Yu-Jui Huang:
Consumption, investment and healthcare with aging. Finance Stochastics 23(2): 313-358 (2019) - Mario Hefter, Arnulf Jentzen:
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Finance Stochastics 23(1): 139-172 (2019) - 2018
- Zdzislaw Brzezniak, Tayfun Kok:
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Finance Stochastics 22(4): 959-1006 (2018) - Umut Çetin:
Financial equilibrium with asymmetric information and random horizon. Finance Stochastics 22(1): 97-126 (2018) - Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang:
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics 22(1): 161-180 (2018) - Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22(2): 241-280 (2018) - Niushan Gao, Denny Leung, Cosimo Munari, Foivos Xanthos:
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Finance Stochastics 22(2): 395-415 (2018) - Martin Keller-Ressel:
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Finance Stochastics 22(2): 503-510 (2018) - Massimo Marinacci, Federico Severino:
Weak time-derivatives and no-arbitrage pricing. Finance Stochastics 22(4): 1007-1036 (2018) - Teemu Pennanen, Ari-Pekka Perkkiö:
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 22(4): 733-771 (2018) - 2017
- Takuji Arai, Yuto Imai, Ryoichi Suzuki:
Local risk-minimization for Barndorff-Nielsen and Shephard models. Finance Stochastics 21(2): 551-592 (2017) - Sebastian Herrmann, Johannes Muhle-Karbe:
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance Stochastics 21(4): 873-930 (2017) - David Hobson, Anthony Neuberger:
Model uncertainty and the pricing of American options. Finance Stochastics 21(1): 285-329 (2017) - Sigrid Källblad:
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Finance Stochastics 21(2): 397-425 (2017) - Constantinos Kardaras, Scott Robertson:
Continuous-time perpetuities and time reversal of diffusions. Finance Stochastics 21(1): 65-110 (2017) - Holger Kraft, Thomas Seiferling, Frank Thomas Seifried:
Optimal consumption and investment with Epstein-Zin recursive utility. Finance Stochastics 21(1): 187-226 (2017) - Zhi Liu:
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. Finance Stochastics 21(2): 427-469 (2017) - Delip Madan, Martijn Pistorius, Mitja Stadje:
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Finance Stochastics 21(4): 1073-1102 (2017) - Stefano Pagliarani, Andrea Pascucci:
The exact Taylor formula of the implied volatility. Finance Stochastics 21(3): 661-718 (2017) - 2016
- Alexander M. G. Cox, Zhaoxu Hou, Jan Oblój:
Robust pricing and hedging under trading restrictions and the emergence of local martingale models. Finance Stochastics 20(3): 669-704 (2016) - Stéphane Crépey, Shiqi Song:
Counterparty risk and funding: immersion and beyond. Finance Stochastics 20(4): 901-930 (2016) - Angelos Dassios, You You Zhang:
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Finance Stochastics 20(3): 773-804 (2016) - Damir Filipovic, Martin Larsson:
Polynomial diffusions and applications in finance. Finance Stochastics 20(4): 931-972 (2016) - Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016) - Laurens de Haan, Cécile Mercadier, Chen Zhou:
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance Stochastics 20(2): 321-354 (2016) - Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing. Finance Stochastics 20(3): 805 (2016)
- Yuri Kabanov, Constantinos Kardaras, Shiqi Song:
No arbitrage of the first kind and local martingale numéraires. Finance Stochastics 20(4): 1097-1108 (2016)
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