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Optimal pairs trading with dynamic mean-variance objective.
- Published in:
- Mathematical Methods of Operations Research, 2021, v. 94, n. 1, p. 145, doi. 10.1007/s00186-021-00751-z
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- Article
How correlation risk in basket credit derivatives might be priced and managed?
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- IMA Journal of Management Mathematics, 2021, v. 32, n. 2, p. 195, doi. 10.1093/imaman/dpaa013
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- Article
Modeling Credit Risk with Hidden Markov Default Intensity.
- Published in:
- Computational Economics, 2019, v. 54, n. 3, p. 1213, doi. 10.1007/s10614-018-9869-7
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- Article
On Optimal Pricing Model for Multiple Dealers in a Competitive Market.
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- Computational Economics, 2019, v. 53, n. 1, p. 397, doi. 10.1007/s10614-017-9749-6
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- Article
On Modeling Economic Default Time: A Reduced-Form Model Approach.
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- Computational Economics, 2016, v. 47, n. 2, p. 157, doi. 10.1007/s10614-014-9469-0
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- Article
Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach.
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- Journal of Optimization Theory & Applications, 2023, v. 196, n. 1, p. 36, doi. 10.1007/s10957-022-02131-x
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- Article
Generalized optimal liquidation problems across multiple trading venues.
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- Journal of Industrial & Management Optimization, 2022, v. 18, n. 5, p. 3215, doi. 10.3934/jimo.2021109
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- Article
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility.
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- Journal of Industrial & Management Optimization, 2022, v. 18, n. 3, p. 2077, doi. 10.3934/jimo.2021057
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- Article
On correlated defaults and incomplete information.
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- Journal of Industrial & Management Optimization, 2021, v. 17, n. 2, p. 889, doi. 10.3934/jimo.2020003
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- Article