Works matching IS 09492984 AND DT 2019 AND VI 23 AND IP 3
Results: 9
Duality for pathwise superhedging in continuous time.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 697, doi. 10.1007/s00780-019-00395-2
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- Article
The self-financing equation in limit order book markets.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 729, doi. 10.1007/s00780-019-00398-z
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- Article
An SPDE model for systemic risk with endogenous contagion.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 535, doi. 10.1007/s00780-019-00396-1
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- Article
Distributional compatibility for change of measures.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 761, doi. 10.1007/s00780-019-00393-4
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- Article
Affine forward variance models.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 501, doi. 10.1007/s00780-019-00392-5
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A multi-asset investment and consumption problem with transaction costs.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 641, doi. 10.1007/s00780-019-00391-6
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- Article
Laws of large numbers for Hayashi–Yoshida-type functionals.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 451, doi. 10.1007/s00780-019-00390-7
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- Article
Robust utility maximisation in markets with transaction costs.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 677, doi. 10.1007/s00780-019-00389-0
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- Article
Sensitivity analysis of the utility maximisation problem with respect to model perturbations.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 595, doi. 10.1007/s00780-019-00388-1
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- Article