Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives

By Bayraktar Erhan   Yang Bo  

Applied Mathematical Finance, Vol. 16, Iss. 5, 2009-10 ,pp. : 429-449

Routledge Ltd

Access to resources Recommend Favorite

Dynamic programming and mean-variance hedging in discrete time

By Černý Aleš  

Applied Mathematical Finance, Vol. 11, Iss. 1, 2004-03 ,pp. : 1-25

Routledge Ltd

Access to resources Recommend Favorite

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

By Kharroubi Idris   Lim Thomas   Ngoupeyou Armand  

Applied Mathematics and Optimization, Vol. 68, Iss. 3, 2013-12 ,pp. : 413-444

Springer Publishing Company

Access to resources Recommend Favorite

Optimal ergodic control of Markov diffusion processes with minimum variance

By Jasso-Fuentes Héctor   Hernández-Lerma Onésimo  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 6, 2013-12 ,pp. : 929-945

Taylor & Francis Ltd

Access to resources Recommend Favorite

Change of filtrations and mean-variance hedging

By Kohlmann Michael   Xiong Dewen   Ye Zhongxing  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 6, 2007-12 ,pp. : 539-562

Taylor & Francis Ltd

Access to resources Recommend Favorite