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2021 |
Henderson, Vicky |
| Mixture of consistent stochastic utilities, and a priori randomness
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2021 |
Mrad, Mohamed |
| Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
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2021 |
Serrano, Rafael |
| Efficient risk measures calculations for generalized CreditRisk+ models
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2021 |
Huang, Zhenzhen |
| Dynamic probabilistic forecasting with uncertainty
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2021 |
Benth, Fred Espen |
| Latency and liquidity risk
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2021 |
Cartea, Álvaro |
| Inflation, central bank and short-term interest rates : A new model with calibration to market data
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2021 |
Antonacci, Flavia |
| Large platonic markets with delays
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2021 |
Limmer, Yannick |
| Coherent risk measure on L0 : NA condition, pricing and dual representation
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2021 |
Lepinette, Emmanuel |
| Modeling lifetime expected credit losses on bank loans
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2021 |
Chellathurai, Thamayanthi |
| Comparing the small-sample estimation error of conceptually different risk measures
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2021 |
Auer, Benjamin R. |
| Optimal dynamic futures portfolio under a multifactor Gaussian framework
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2021 |
Leung, Tim |
| Two stage decumulation strategies for DC plan investors
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2021 |
Forsyth, Peter |
| Survival investment strategies in a continuous-time market model with competition
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2021 |
Zhitlukhin, M. V. |
| A unified market model for swaptions and constant maturity swaps
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2021 |
Tee, Chyng Wen |
| Portfolio insurance under rough volatility and Volterra processes
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2021 |
Dupret, Jean-Loup |
| Defaultable term structures driven by semimartingales
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2021 |
Gümbel, Sandrine |
| Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
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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
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2021 |
Kitapbayev, Yerkin |
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