Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing.
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- Annals of Finance, 2020, v. 16, n. 1, p. 121, doi. 10.1007/s10436-019-00355-y
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Works matching IS 16142446 AND DT 2020 AND VI 16 AND IP 1
Results: 5
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Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules.
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- Annals of Finance, 2020, v. 16, n. 1, p. 141, doi. 10.1007/s10436-020-00358-0
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- Article
3
Maximizing expected exponential utility of consumption with a constraint on expected time in poverty.
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- Annals of Finance, 2020, v. 16, n. 1, p. 63, doi. 10.1007/s10436-019-00354-z
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- Article
4
Asian options pricing in Hawkes-type jump-diffusion models.
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- Annals of Finance, 2020, v. 16, n. 1, p. 101, doi. 10.1007/s10436-019-00352-1
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- Article
5
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility.
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- Annals of Finance, 2020, v. 16, n. 1, p. 1, doi. 10.1007/s10436-019-00349-w
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- Article