Works matching IS 09492984 AND DT 2005 AND VI 9 AND IP 4
Results: 9
A note on the large homogeneous portfolio approximation with the Student-t copula.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 577, doi. 10.1007/s00780-004-0142-7
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Optimal investment with derivative securities.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 585, doi. 10.1007/s00780-005-0154-y
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- Article
Pricing options on realized variance.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 453, doi. 10.1007/s00780-005-0155-x
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Anomalous PDEs in Markov chains: Domains of validity and numerical solutions.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 519, doi. 10.1007/s00780-005-0157-8
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- Article
Conditional and dynamic convex risk measures.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 539, doi. 10.1007/s00780-005-0159-6
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Robust representation of convex risk measures by probability measures.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 597, doi. 10.1007/s00780-005-0160-0
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- Article
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 563, doi. 10.1007/s00780-005-0161-z
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- Article
Local martingales, bubbles and option prices.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 477, doi. 10.1007/s00780-005-0162-y
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- Article
Utility maximization in incomplete markets for unbounded processes.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 493, doi. 10.1007/s00780-005-0163-x
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- Article