Works matching IS 09601627 AND DT 2019 AND VI 29 AND IP 1

Results: 12

Issue Information.

Published in:: Mathematical Finance, 2019, v. 29, n. 1, p. 1, doi. 10.1111/mafi.12188
Publication type:: Article

Option pricing under fast‐varying long‐memory stochastic volatility.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 39, doi. 10.1111/mafi.12186

By:

Garnier, Josselin;
Sølna, Knut

Publication type:

Article

Financial models with defaultable numéraires.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 117, doi. 10.1111/mafi.12178

By:

Fisher, Travis;
Pulido, Sergio;
Ruf, Johannes

Publication type:

Article

Credit portfolio selection with decaying contagion intensities.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 137, doi. 10.1111/mafi.12177

By:

Bo, Lijun;
Capponi, Agostino;
Chen, Peng‐Chu

Publication type:

Article

Corporate security prices in structural credit risk models with incomplete information.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 84, doi. 10.1111/mafi.12176

By:

Frey, Rüdiger;
Rösler, Lars;
Lu, Dan

Publication type:

Article

Strict local martingales and optimal investment in a Black–Scholes model with a bubble.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 285, doi. 10.1111/mafi.12175

By:

Herdegen, Martin;
Herrmann, Sebastian

Publication type:

Article

Backward SDEs for control with partial information.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 208, doi. 10.1111/mafi.12174

By:

Papanicolaou, Andrew

Publication type:

Article

The characteristic function of rough Heston models.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 3, doi. 10.1111/mafi.12173

By:

El Euch, Omar;
Rosenbaum, Mathieu

Publication type:

Article

The limits of leverage.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 249, doi. 10.1111/mafi.12172

By:

Guasoni, Paolo;
Mayerhofer, Eberhard

Publication type:

Article

Distribution‐constrained optimal stopping.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 368, doi. 10.1111/mafi.12171

By:

Bayraktar, Erhan;
Miller, Christopher W.

Publication type:

Article

A unified approach to systemic risk measures via acceptance sets.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 329, doi. 10.1111/mafi.12170

By:

Biagini, Francesca;
Fouque, Jean‐Pierre;
Frittelli, Marco;
Meyer‐Brandis, Thilo

Publication type:

Article

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix.

Published in:

Mathematical Finance, 2019, v. 29, n. 1, p. 174, doi. 10.1111/mafi.12169

By:

Ismail, Amine;
Pham, Huyên

Publication type:

Article