| Dynamic probabilistic forecasting with uncertainty
|
2021 |
Benth, Fred Espen |
| Latency and liquidity risk
|
2021 |
Cartea, Álvaro |
| Inflation, central bank and short-term interest rates : A new model with calibration to market data
|
2021 |
Antonacci, Flavia |
| Large platonic markets with delays
|
2021 |
Limmer, Yannick |
| Coherent risk measure on L0 : NA condition, pricing and dual representation
|
2021 |
Lepinette, Emmanuel |
| The value of being lucky : option backdating and nondiversifiable risk
|
2021 |
Henderson, Vicky |
| Mixture of consistent stochastic utilities, and a priori randomness
|
2021 |
Mrad, Mohamed |
| Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
|
2021 |
Serrano, Rafael |
| Efficient risk measures calculations for generalized CreditRisk+ models
|
2021 |
Huang, Zhenzhen |
| Sinh-acceleration for B-spline projection with option pricing applications
|
2021 |
Bojarčenko, Svetlana I. |
| Pricing Asian options with correlators
|
2021 |
Lavagnini, Silvia |
| The VIX and future information
|
2021 |
Hess, Markus |
| The affine rational potential model
|
2021 |
Nguyen, The Anh |
| The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
|
2021 |
Keller-Ressel, Martin |
| Option implied VIX, Skew and Kurtosis term structures
|
2021 |
Madan, Dilip B. |
| CVA and vulnerable options in Stochastic volatility models
|
2021 |
Alòs, Elisa |
| Consistent upper price bounds for exotic options
|
2021 |
Bäuerle, Nicole |
| Polynomial term structure models
|
2021 |
Cheng, Si |
| Decomposition formula for rough Volterra stochastic volatility models
|
2021 |
Merino, Raúl |
| Asset dependency structures and portfolio insurance strategies
|
2021 |
Mantilla-Garcia, Daniel |
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