Works matching IS 09492984 AND DT 2016 AND VI 20 AND IP 4
Results: 9
Polynomial diffusions and applications in finance.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 931, doi. 10.1007/s00780-016-0304-4
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- Publication type:
- Article
Counterparty risk and funding: immersion and beyond.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 901, doi. 10.1007/s00780-016-0305-3
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- Publication type:
- Article
A BSDE approach to fair bilateral pricing under endogenous collateralization.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 855, doi. 10.1007/s00780-016-0306-2
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- Article
Another look at the integral of exponential Brownian motion and the pricing of Asian options.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 1061, doi. 10.1007/s00780-016-0307-1
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- Publication type:
- Article
No arbitrage of the first kind and local martingale numéraires.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 1097, doi. 10.1007/s00780-016-0310-6
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- Article
Editorial: 20th anniversary of Finance and Stochastics.
- Published in:
- 2016
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- Publication type:
- Editorial
Liquidity management with decreasing returns to scale and secured credit line.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 809, doi. 10.1007/s00780-016-0312-4
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- Publication type:
- Article
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 973, doi. 10.1007/s00780-016-0313-3
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- Publication type:
- Article
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 4, p. 1021, doi. 10.1007/s00780-016-0301-7
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- Publication type:
- Article