Works matching IS 09492984 AND DT 2013 AND VI 17 AND IP 4
Results: 8
Variation and share-weighted variation swaps on time-changed Lévy processes.
- Published in:
- Finance & Stochastics, 2013, v. 17, n. 4, p. 685, doi. 10.1007/s00780-013-0212-9
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- Article
Multilevel dual approach for pricing American style derivatives.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 717, doi. 10.1007/s00780-013-0208-5
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- Article
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 771, doi. 10.1007/s00780-013-0209-4
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- Article
On the game interpretation of a shadow price process in utility maximization problems under transaction costs.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 819, doi. 10.1007/s00780-013-0206-7
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- Article
Drift dependence of optimal trade execution strategies under transient price impact.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 743, doi. 10.1007/s00780-013-0211-x
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- Article
On the existence of shadow prices.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 801, doi. 10.1007/s00780-012-0201-4
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- Article
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.
- Published in:
- Finance & Stochastics, 2013, v. 17, n. 4, p. 839, doi. 10.1007/s00780-013-0213-8
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- Article
Mean-variance hedging with oil futures.
- Published in:
- Finance & Stochastics, 2013, v. 17, n. 4, p. 641, doi. 10.1007/s00780-013-0203-x
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- Article