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A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets.
- Published in:
- Finance & Stochastics, 2024, v. 28, n. 4, p. 1035, doi. 10.1007/s00780-024-00546-0
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- Article
Cost-efficient payoffs under model ambiguity.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 965, doi. 10.1007/s00780-024-00547-z
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- Article
Extreme ATM skew in a local volatility model with discontinuity: joint density approach.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 1179, doi. 10.1007/s00780-024-00545-1
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- Article
On the Guyon–Lekeufack volatility model.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 1203, doi. 10.1007/s00780-024-00544-2
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- Article
Robustness of Hilbert space-valued stochastic volatility models.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 1117, doi. 10.1007/s00780-024-00542-4
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- Article
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 1077, doi. 10.1007/s00780-024-00543-3
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- Article
Risk sharing under heterogeneous beliefs without convexity.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 999, doi. 10.1007/s00780-024-00540-6
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- Article
Improved robust price bounds for multi-asset derivatives under market-implied dependence information.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 911, doi. 10.1007/s00780-024-00539-z
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- Publication type:
- Article
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models.
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- Finance & Stochastics, 2024, v. 28, n. 4, p. 1147, doi. 10.1007/s00780-024-00541-5
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- Article