Modeling lifetime expected credit losses on bank loans
|
2021 |
Chellathurai, Thamayanthi |
Comparing the small-sample estimation error of conceptually different risk measures
|
2021 |
Auer, Benjamin R. |
Optimal dynamic futures portfolio under a multifactor Gaussian framework
|
2021 |
Leung, Tim |
Two stage decumulation strategies for DC plan investors
|
2021 |
Forsyth, Peter |
Survival investment strategies in a continuous-time market model with competition
|
2021 |
Zhitlukhin, M. V. |
A unified market model for swaptions and constant maturity swaps
|
2021 |
Tee, Chyng Wen |
Portfolio insurance under rough volatility and Volterra processes
|
2021 |
Dupret, Jean-Loup |
Defaultable term structures driven by semimartingales
|
2021 |
Gümbel, Sandrine |
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
|
2021 |
Okhrati, Ramin |
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
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2021 |
Bielecki, Tomasz R. |
Closed form optimal exercise boundary of the American put option
|
2021 |
Kitapbayev, Yerkin |
Insider trading with temporary price impact
|
2021 |
Barger, Weston |
Replication scheme for the pricing of European options
|
2021 |
Funahashi, Hideharu |
First-to-default and second-to-default options in models with various information flows
|
2021 |
Gapeev, Pavel V. |
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
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2021 |
Shi, Xiang |
Robust utility maximization in a multivariate financial market with stochastic drift
|
2021 |
Sass, Jörn |
Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization
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2021 |
Staden, Pieter M. van |
Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
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2021 |
Fukasawa, Masaaki |
Dynamic probabilistic forecasting with uncertainty
|
2021 |
Benth, Fred Espen |
Latency and liquidity risk
|
2021 |
Cartea, Álvaro |