Works matching IS 09601627 AND DT 2017 AND VI 27 AND IP 2

Results: 11

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 279, doi. 10.1111/mafi.12090

By:

Nyström, Kaj;
Parviainen, Mikko

Publication type:

Article

AN ANALYTICAL SOLUTION FOR THE TWO-SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 604, doi. 10.1111/mafi.12091

By:

Dassios, Angelos;
Lim, Jia Wei

Publication type:

Article

OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE-TIME DIFFUSIONS.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 438, doi. 10.1111/mafi.12092

By:

Nadtochiy, Sergey;
Tehranchi, Michael

Publication type:

Article

MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 471, doi. 10.1111/mafi.12093

By:

Cui, Xiangyu;
Li, Duan;
Li, Xun

Publication type:

Article

RISK-MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 505, doi. 10.1111/mafi.12095

By:

Biagini, Francesca;
Botero, Camila;
Schreiber, Irene

Publication type:

Article

MODEL UNCERTAINTY AND SCENARIO AGGREGATION.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 534, doi. 10.1111/mafi.12097

By:

Cambou, Mathieu;
Filipović, Damir

Publication type:

Article

TRADING WITH SMALL PRICE IMPACT.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 350, doi. 10.1111/mafi.12098

By:

Moreau, Ludovic;
Muhle‐Karbe, Johannes;
Soner, H. Mete

Publication type:

Article

DYNAMIC TRADING VOLUME.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 313, doi. 10.1111/mafi.12099

By:

Guasoni, Paolo;
Weber, Marko

Publication type:

Article

Issue Information.

Published in:: Mathematical Finance, 2017, v. 27, n. 2, p. 277, doi. 10.1111/mafi.12131
Publication type:: Article

NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 568, doi. 10.1111/mafi.12088

By:

Herdegen, Martin

Publication type:

Article

IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION.

Published in:

Mathematical Finance, 2017, v. 27, n. 2, p. 401, doi. 10.1111/mafi.12101

By:

Federico, Salvatore;
Gassiat, Paul;
Gozzi, Fausto

Publication type:

Article