| Portfolio insurance under rough volatility and Volterra processes
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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
|
2021 |
Bielecki, Tomasz R. |
| Closed form optimal exercise boundary of the American put option
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2021 |
Kitapbayev, Yerkin |
| Insider trading with temporary price impact
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2021 |
Barger, Weston |
| Replication scheme for the pricing of European options
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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
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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
|
2021 |
Fukasawa, Masaaki |
| Sinh-acceleration for B-spline projection with option pricing applications
|
2021 |
Bojarčenko, Svetlana I. |
| Pricing Asian options with correlators
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2021 |
Lavagnini, Silvia |
| The VIX and future information
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2021 |
Hess, Markus |
| The affine rational potential model
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2021 |
Nguyen, The Anh |
| The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
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2021 |
Keller-Ressel, Martin |
| Option implied VIX, Skew and Kurtosis term structures
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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 |
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