DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 207, doi. 10.1111/j.1467-9965.2012.00522.x
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2014 AND VI 24 AND IP 2
Results: 6
1
2
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME-SWITCHING MARKETS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 250, doi. 10.1111/j.1467-9965.2012.00533.x
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- Publication type:
- Article
3
COMMENT ON 'SKEWNESS-AWARE ASSET ALLOCATION'.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 403, doi. 10.1111/mafi.12040
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- Publication type:
- Article
4
TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 289, doi. 10.1111/mafi.12003
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- Publication type:
- Article
5
PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 331, doi. 10.1111/mafi.12007
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- Publication type:
- Article
6
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 2, p. 364, doi. 10.1111/mafi.12024
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- Publication type:
- Article