| Tail behaviour and tail dependence of generalized hyperbolic distributions
|
2016 |
Hammerstein, Ernst August v. |
| Explicit computations for some Markov modulated counting processes
|
2016 |
Mandjes, Michel |
| Gamma kernels and BSS/LSS processes
|
2016 |
Barndorff-Nielsen, Ole E. |
| Estimation of correlation between latent processes
|
2016 |
Kimura, Akitoshi |
| Collateralized borrowing and default risk
|
2016 |
Lütkebohmert, Eva |
| Approximate pricing of call options on the quadratic variation in Lévy models
|
2016 |
Jahncke, Giso |
| Almost surely optimal portfolios under proportional transaction costs
|
2016 |
Feodoria, Mark-Roman |
| Hunting for black swans in the European banking sector using extreme value analysis
|
2016 |
Beirlant, Jan |
| Discrete-time quadratic hedging of barrier options in exponential Lévy model
|
2016 |
Černý, Aleš |
| On the optimal investment
|
2016 |
Corcuera, José Manuel |
| No arbitrage theory for bond markets
|
2016 |
Klein, Irene |
| Approximate option pricing in the Lévy Libor model
|
2016 |
Grbac, Zorana |
| A unified view of LIBOR models
|
2016 |
Glau, Kathrin |
| Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
|
2016 |
Benth, Fred Espen |
| Introducing distances between commodity markets : the case of the US and UK natural gas
|
2016 |
Geman, Hélyette |
| Three non-Gaussian models of dependence in returns
|
2016 |
Madan, Dilip B. |
| Forward exponential indifference valuation in an incomplete binomial model
|
2016 |
Musiela, Marek |
| Option pricing in affine generalized Merton models
|
2016 |
Bayer, Christian |
| Construction and hedging of optimal payoffs in Lévy models
|
2016 |
Rüschendorf, Ludger |
| Model uncertainty in a holistic perspective
|
2016 |
Stahl, Gerhard |
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