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1

VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF-DUALITY

Alòs, Elisa, Chen, Zhanyu, Rheinländer, Thorsten

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 768 KB

english, 2016

2

Mean-variance hedging for continuous processes: New proofs and examples

Huyên Pham, Thorsten Rheinländer, Martin Schweizer

Journal:

Finance and Stochastics

Year:

1998

Language:

english

File:

PDF, 221 KB

english, 1998

3

Exponential Hedging and Entropic Penalties

Freddy Delbaen, Peter Grandits, Thorsten Rheinländer, Dominick Samperi, Martin Schweizer, Christophe Stricker

Journal:

Mathematical Finance

Year:

2002

Language:

english

File:

PDF, 228 KB

english, 2002

4

HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS

Biagini, Francesca, Rheinländer, Thorsten, Widenmann, Jan

Journal:

Year:

2013

Language:

english

File:

PDF, 1.32 MB

english, 2013

5

On the Minimal Entropy Martingale Measure

Peter Grandits and Thorsten Rheinländer

Journal:

The Annals of Probability

Year:

2002

Language:

english

File:

PDF, 2.48 MB

english, 2002

6

An entropy approach to the Stein and Stein model with correlation

Thorsten Rheinländer

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 166 KB

english, 2005

7

Optimal martingale measures for defaultable assets

Young Lee, Thorsten Rheinländer

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 220 KB

english, 2012

8

Risk Management: Value at Risk and Beyondby M. A. H. Dempster

Review by: Thorsten Rheinländer

Journal:

Journal of the American Statistical Association

Year:

2003

File:

PDF, 376 KB

2003

9

Quasi--Self-Dual Exponential Lévy Processes

Rheinländer, Thorsten, Schmutz, Michael

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 394 KB

english, 2014

10

CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS

HELL, PHILIPP, MEYER-BRANDIS, THILO, RHEINLÄNDER, THORSTEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 274 KB

english, 2012

11

The Minimal Entropy Martingale Measure for Exponential Markov Chains

Lee, Young, Rheinländer, Thorsten

Journal:

Journal of Applied Probability

Year:

2013

Language:

english

File:

PDF, 140 KB

english, 2013

12

Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change

Jörg R. Osterrieder, Thorsten Rheinländer

Journal:

Annals of Finance

Year:

2006

Language:

english

File:

PDF, 173 KB

english, 2006

13

Utility Indifference Hedging with Exponential Additive Processes

Thorsten Rheinländer, Gallus Steiger

Journal:

Asia-Pacific Financial Markets

Year:

2010

Language:

english

File:

PDF, 223 KB

english, 2010

14

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Static Hedging

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 247 KB

english, 2011

15

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Arbitrage and Completeness

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 280 KB

english, 2011

16

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Asset Price Models

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 327 KB

english, 2011

17

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Optimal Martingale Measures

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 304 KB

english, 2011

18

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Hedging Constraints

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 370 KB

english, 2011

19

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Mean-Variance Hedging

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 330 KB

english, 2011

20

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Stochastic Calculus

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 304 KB

english, 2011

21

Introduction to Stochastic Integration

Rheinländer, Thorsten

Journal:

Journal of the American Statistical Association

Year:

2008

Language:

english

File:

PDF, 120 KB

english, 2008

22

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Entropic Valuation and Hedging

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 316 KB

english, 2011

23

Self-dual continuous processes

Rheinländer, Thorsten, Schmutz, Michael

Journal:

Stochastic Processes and their Applications

Year:

2013

Language:

english

File:

PDF, 224 KB

english, 2013

24

Introductory Stochastic Analysis for Finance and Insuranceby X. Sheldon Lin

Review by: Thorsten Rheinlander

Journal:

Journal of the American Statistical Association

Year:

2007

Language:

english

File:

PDF, 472 KB

english, 2007

25

Introduction to Stochastic Integrationby Hui-Hsiung Kuo

Review by: Thorsten Rheinländer

Journal:

Journal of the American Statistical Association

Year:

2008

Language:

english

File:

PDF, 301 KB

english, 2008

26

Risk Management: Value at Risk and Beyond

Rheinländer, Thorsten

Journal:

Journal of the American Statistical Association

Year:

2003

Language:

english

File:

PDF, 79 KB

english, 2003

27

Introductory Stochastic Analysis for Finance and Insurance

Rheinlander, Thorsten

Journal:

Journal of the American Statistical Association

Year:

2007

Language:

english

File:

PDF, 156 KB

english, 2007

28

[Advanced Series on Statistical Science and Applied Probability] Hedging Derivatives Volume 15 || Introduction

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 157 KB

english, 2011

29

Relative liquidity and future volatility

Valenzuela, Marcela, Zer, Ilknur, Fryzlewicz, Piotr, Rheinländer, Thorsten

Journal:

Journal of Financial Markets

Year:

2015

Language:

english

File:

PDF, 709 KB

english, 2015

30

Asymptotic utility-based pricing and hedging for exponential utility

Kallsen, Jan, Rheinländer, Thorsten

Journal:

Statistics & Decisions

Year:

2011

Language:

english

File:

PDF, 196 KB

english, 2011

31

The Minimal Entropy Martingale Measure for General Barndorff-Nielsen/Shephard Models

Thorsten Rheinländer and Gallus Steiger

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 2.32 MB

english, 2006

32

On L2-Projections on a Space of Stochastic Integrals

Thorsten Rheinlander and Martin Schweizer

Journal:

The Annals of Probability

Year:

1997

Language:

english

File:

PDF, 1.39 MB

english, 1997

33

Risk-minimization for life insurance liabilities with basis risk

Biagini, Francesca, Rheinländer, Thorsten, Schreiber, Irene

Journal:

Mathematics and Financial Economics

Year:

2016

Language:

english

File:

PDF, 643 KB

english, 2016

34

[Advanced Series on Statistical Science & Applied Probability] Hedging Derivatives Volume 15 || FRONT MATTER

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 142 KB

english, 2011

35

[Advanced Series on Statistical Science & Applied Probability] Hedging Derivatives Volume 15 || BACK MATTER

Rheinländer, Thorsten, Sexton, Jenny

Year:

2011

Language:

english

File:

PDF, 195 KB

english, 2011

36

On $L^2$-projections on a space of stochastic integrals

Rheinländer, Thorsten, Schweizer, Martin

Journal:

The Annals of Probability

Year:

1997

Language:

english

File:

PDF, 143 KB

english, 1997

37

Financial markets with a large trader

Blümmel, Tilmann, Rheinländer, Thorsten

Journal:

The Annals of Applied Probability

Year:

2017

Language:

english

File:

PDF, 437 KB

english, 2017

38

The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

Rheinländer, Thorsten, Steiger, Gallus

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 308 KB

english, 2006

39

[IEEE 2018 IEEE 18th International Symposium on Computational Intelligence and Informatics (CINTI) - Budapest, Hungary (2018.11.21-2018.11.22)] 2018 IEEE 18th International Symposium on Computational Intelligence and Informatics (CINTI) - An approach to reconstruction of data set via supervised and unsupervised learning

Radojicic, Dragana, Kredatus, Simeon, Rheinlander, Thorsten

Year:

2018

File:

PDF, 4.05 MB

2018