Works matching IS 09492984 AND DT 2017 AND VI 21 AND IP 2
Results: 8
The scaling limit of superreplication prices with small transaction costs in the multivariate case.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 487, doi. 10.1007/s00780-016-0320-4
- By:
- Publication type:
- Article
Computing deltas without derivatives.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 509, doi. 10.1007/s00780-016-0321-3
- By:
- Publication type:
- Article
Change of numeraire in the two-marginals martingale transport problem.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 471, doi. 10.1007/s00780-016-0322-2
- By:
- Publication type:
- Article
Local risk-minimization for Barndorff-Nielsen and Shephard models.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 551, doi. 10.1007/s00780-017-0324-8
- By:
- Publication type:
- Article
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 427, doi. 10.1007/s00780-017-0325-7
- By:
- Publication type:
- Article
Hedging under multiple risk constraints.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 361, doi. 10.1007/s00780-017-0326-6
- By:
- Publication type:
- Article
On time-inconsistent stochastic control in continuous time.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 331, doi. 10.1007/s00780-017-0327-5
- By:
- Publication type:
- Article
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals.
- Published in:
- Finance & Stochastics, 2017, v. 21, n. 2, p. 397, doi. 10.1007/s00780-016-0318-y
- By:
- Publication type:
- Article