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HEADING UNDER TRANSACTION COSTS IN CURRENCY MARKETS: A DISCRETE-TIME MODEL.
- Published in:
- Mathematical Finance, 2002, v. 12, n. 1, p. 45, doi. 10.1111/1467-9965.00003
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- Article
ON THE OPTIMAL PORTFOLIO FOR THE EXPONENTIAL UTILITY MAXIMIZATION: REMARKS TO THE SIX-AUTHOR PAPER.
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- Mathematical Finance, 2002, v. 12, n. 2, p. 125, doi. 10.1111/1467-9965.t01-1-02002
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- Article
HEDGING UNDER TRANSACTION COSTS IN CURRENCY MARKETS: A CONTINUOUS-TIME MODEL.
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- Mathematical Finance, 2002, v. 12, n. 1, p. 63, doi. 10.1111/1467-9965.00004
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- Article
LOUIS BACHELIER ON THE CENTENARY OF THÉORIE DE LA SPÉCULATION.
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- Mathematical Finance, 2000, v. 10, n. 3, p. 339, doi. 10.1111/1467-9965.00098
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- Article
BOND MARKET STRUCTURE IN THE PRESENCE OF MARKED POINT PROCESSES.
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- Mathematical Finance, 1997, v. 7, n. 2, p. 211, doi. 10.1111/1467-9965.00031
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- Article
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.
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- Journal of Applied Probability, 2022, v. 59, n. 2, p. 556, doi. 10.1017/jpr.2021.74
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- Article
On ruin probabilities with risky investments in a stock with stochastic volatility.
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- Extremes, 2021, v. 24, n. 4, p. 687, doi. 10.1007/s10687-021-00420-8
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- Article
Ruin Probabilities with Investments in Random Environment: Smoothness.
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- Mathematics (2227-7390), 2024, v. 12, n. 11, p. 1705, doi. 10.3390/math12111705
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- Article
Kinetics of Domain Structure in Co/Pt/Co Ultrathin Films with Ferromagnetic Interlayer Exchange Interaction: Dependence on Interlayer Thickness.
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- Magnetism (2673-8724), 2022, v. 2, n. 2, p. 186, doi. 10.3390/magnetism2020014
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- Article
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments.
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- Finance & Stochastics, 2023, v. 27, n. 4, p. 887, doi. 10.1007/s00780-023-00513-1
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- Article
On ruin probabilities with investments in a risky asset with a regime-switching price.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 877, doi. 10.1007/s00780-022-00483-w
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- Article
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs.
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- Finance & Stochastics, 2021, v. 25, n. 1, p. 167, doi. 10.1007/s00780-020-00441-4
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- Article
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process.
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- Finance & Stochastics, 2020, v. 24, n. 1, p. 39, doi. 10.1007/s00780-019-00413-3
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- Article
No arbitrage of the first kind and local martingale numéraires.
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- Finance & Stochastics, 2016, v. 20, n. 4, p. 1097, doi. 10.1007/s00780-016-0310-6
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- Article
Consumption-investment problem with transaction costs for Lévy-driven price processes.
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- Finance & Stochastics, 2016, v. 20, n. 3, p. 705, doi. 10.1007/s00780-016-0303-5
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- Article
In the insurance business risky investments are dangerous: the case of negative risk sums.
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- Finance & Stochastics, 2016, v. 20, n. 2, p. 355, doi. 10.1007/s00780-016-0292-4
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- Article
Small transaction costs, absence of arbitrage and consistent price systems.
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- Finance & Stochastics, 2012, v. 16, n. 3, p. 357, doi. 10.1007/s00780-011-0164-x
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- Article
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.
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- Finance & Stochastics, 2012, v. 16, n. 1, p. 135, doi. 10.1007/s00780-010-0144-6
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- Article
Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
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- Finance & Stochastics, 2010, v. 14, n. 4, p. 625, doi. 10.1007/s00780-010-0130-z
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- Article
In discrete time a local martingale is a martingale under an equivalent probability measure.
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- Finance & Stochastics, 2008, v. 12, n. 3, p. 293, doi. 10.1007/s00780-008-0063-y
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- Article
No-arbitrage criteria for financial markets with transaction costs and incomplete information.
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- Finance & Stochastics, 2007, v. 11, n. 2, p. 237, doi. 10.1007/s00780-006-0029-x
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- Article
On the law of one price.
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- Finance & Stochastics, 2004, v. 8, n. 4, p. 525, doi. 10.1007/s00780-004-0124-9
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- Article
A geometric approach to portfolio optimization in models with transaction costs.
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- Finance & Stochastics, 2004, v. 8, n. 2, p. 207, doi. 10.1007/s00780-003-0114-3
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- Article
Editorial.
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- 2004
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- Publication type:
- Editorial
On the closedness of sums of convex cones in ...
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- Finance & Stochastics, 2003, v. 7, n. 3, p. 403, doi. 10.1007/s007800200089
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- Article
No-arbitrage criteria for financial markets with efficient friction.
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- Finance & Stochastics, 2002, v. 6, n. 3, p. 371, doi. 10.1007/s007800100062
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- Article
In the insurance business risky investments are dangerous.
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- Finance & Stochastics, 2002, v. 6, n. 2, p. 227, doi. 10.1007/s007800100057
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- Article
Towards a general theory of bond markets.
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- Finance & Stochastics, 1997, v. 1, n. 2, p. 141, doi. 10.1007/s007800050020
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- Article
On Leland's strategy of options pricing with transactions costs.
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- Finance & Stochastics, 1997, v. 1, n. 3, p. 239, doi. 10.1007/s007800050023
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- Article