Works matching IS 09492984 AND DT 2020 AND VI 24 AND IP 3
Results: 7
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 633, doi. 10.1007/s00780-020-00428-1
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- Article
Realised volatility and parametric estimation of Heston SDEs.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 723, doi. 10.1007/s00780-020-00427-2
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- Article
Adapted Wasserstein distances and stability in mathematical finance.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 601, doi. 10.1007/s00780-020-00426-3
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- Article
A splitting strategy for the calibration of jump-diffusion models.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 677, doi. 10.1007/s00780-020-00425-4
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- Article
Conditional Davis pricing.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 565, doi. 10.1007/s00780-020-00424-5
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- Article
Time reversal and last passage time of diffusions with applications to credit risk management.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 795, doi. 10.1007/s00780-020-00423-6
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- Article
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models.
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- Finance & Stochastics, 2020, v. 24, n. 3, p. 757, doi. 10.1007/s00780-020-00422-7
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- Article