Fair bilateral pricing under funding costs and exogenous collateralization.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 621, doi. 10.1111/mafi.12145
- By:
- Publication type:
- Article
Works matching IS 09601627 AND DT 2018 AND VI 28 AND IP 2
Results: 10
1
2
Small-cost asymptotics for long-term growth rates in incomplete markets.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 668, doi. 10.1111/mafi.12152
- By:
- Publication type:
- Article
3
A note on the long rate in factor models of the term structure.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 656, doi. 10.1111/mafi.12151
- By:
- Publication type:
- Article
4
Conic martingales from stochastic integrals.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 516, doi. 10.1111/mafi.12147
- By:
- Publication type:
- Article
5
Optimal cash holdings under heterogeneous beliefs.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 712, doi. 10.1111/mafi.12148
- By:
- Publication type:
- Article
6
On the C-property and w*-representations of risk measures.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 1, doi. 10.1111/mafi.12150
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- Publication type:
- Article
7
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 536, doi. 10.1111/mafi.12144
- By:
- Publication type:
- Article
8
Super-replication in fully incomplete markets.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 483, doi. 10.1111/mafi.12149
- By:
- Publication type:
- Article
9
On American VIX options under the generalized 3/2 and 1/2 models.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 550, doi. 10.1111/mafi.12153
- By:
- Publication type:
- Article
10
Arbitrage-free XVA.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 2, p. 582, doi. 10.1111/mafi.12146
- By:
- Publication type:
- Article