ヘルプ
ヘルプ

検索結果 220 件

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
デジタル記事
2022-08-23Mathematical Finance32 4p.1086-1132
全国の図書館
  • 掲載誌（ISSN）09601627

Optimal stopping under model ambiguity: A time‐consistent equilibrium approach

Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
デジタル記事
2021-04-19Mathematical Finance31 3p.979-1012
全国の図書館
  • 要約等...e="urn:x-wiley:09601627:media:mafi12312:mafi12312-mat...
  • 掲載誌（ISSN）09601627

Double continuation regions for American options under Poisson exercise opportunities

Double continuation regions for American options under Poisson exercise opportunities
デジタル記事
2021-03-15Mathematical Finance31 2p.722-771
インターネットで読める全国の図書館
  • 掲載誌（ISSN）09601627

Optimal make–take fees for market making regulation

Optimal make–take fees for market making regulation
デジタル記事
2020-11-10Mathematical Finance31 1p.109-148
全国の図書館
  • 掲載誌（ISSN）09601627

The asymptotic expansion of the regular discretization error of Itô integrals

The asymptotic expansion of the regular discretization error of Itô integrals
デジタル記事
2020-10-15Mathematical Finance31 1p.323-365
全国の図書館
  • 掲載誌（ISSN）09601627

Shortfall aversion

Shortfall aversion
デジタル記事
2020-03-04Mathematical Finance30 3p.869-920
全国の図書館
  • 掲載誌（ISSN）09601627

A direct solution method for pricing options in regime‐switching models

A direct solution method for pricing options in regime‐switching models
デジタル記事
2019-07-14Mathematical Finance30 2p.547-576
全国の図書館
  • 掲載誌（ISSN）09601627

Double continuation regions for American and Swing options with negative discount rate in Lévy models

Double continuation regions for American and Swing options with negative discount rate in Lévy models
デジタル記事
2019-07-11Mathematical Finance30 1p.196-227
全国の図書館
  • 掲載誌（ISSN）09601627

Computational aspects of robust optimized certainty equivalents and option pricing

Computational aspects of robust optimized certainty equivalents and option pricing
デジタル記事
2019-03-14Mathematical Finance30 1p.287-309
全国の図書館
  • 掲載誌（ISSN）09601627

Periodic strategies in optimal execution with multiplicative price impact

Periodic strategies in optimal execution with multiplicative price impact
デジタル記事
2019-03-07Mathematical Finance29 4p.1039-1065
全国の図書館
  • 掲載誌（ISSN）09601627

An efficient approach to quantile capital allocation and sensitivity analysis

An efficient approach to quantile capital allocation and sensitivity analysis
デジタル記事
2019-03-05Mathematical Finance29 4p.1131-1156
全国の図書館
  • 掲載誌（ISSN）09601627

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
デジタル記事
2018-10-11Mathematical Finance29 3p.928-966
全国の図書館
  • 掲載誌（ISSN）09601627

The robust pricing–hedging duality for American options in discrete time financial markets

The robust pricing–hedging duality for American options in discrete time financial markets
デジタル記事
2018-10-08Mathematical Finance29 3p.861-897
全国の図書館
  • 掲載誌（ISSN）09601627

Trading co‐integrated assets with price impact

Trading co‐integrated assets with price impact
デジタル記事
2018-08Mathematical Finance29 2p.542-567
全国の図書館
  • 掲載誌（ISSN）09601627

Credit portfolio selection with decaying contagion intensities

Credit portfolio selection with decaying contagion intensities
デジタル記事
2018-02-12Mathematical Finance29 1p.137-173
全国の図書館
  • 掲載誌（ISSN）09601627

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
デジタル記事
2018-02-11Mathematical Finance29 1p.174-207
全国の図書館
  • 掲載誌（ISSN）09601627

A unified approach to systemic risk measures via acceptance sets

A unified approach to systemic risk measures via acceptance sets
デジタル記事
2018-02-07Mathematical Finance29 1p.329-367
全国の図書館
  • 掲載誌（ISSN）09601627

On American VIX options under the generalized 3/2 and 1/2 models

On American VIX options under the generalized 3/2 and 1/2 models
デジタル記事
2017-05-04Mathematical Finance28 2p.550-581
全国の図書館
  • 掲載誌（ISSN）09601627

On the C‐property and ‐representations of risk measures

On the C‐property and ‐representations of risk measures
デジタル記事
2017-05-02Mathematical Finance28 2p.748-754
全国の図書館
  • 要約等...e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi1215......e="urn:x-wiley:09601627:media:mafi12150:mafi12150-mat...
  • 掲載誌（ISSN）09601627

Arbitrage‐free XVA

Arbitrage‐free XVA
デジタル記事
2017-04-18Mathematical Finance28 2p.582-620
全国の図書館
  • 掲載誌（ISSN）09601627