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Volume 20; Issue 3
Main
Finance and Stochastics
Volume 20; Issue 3
Finance and Stochastics
Volume 20; Issue 3
1
Additive subordination and its applications in finance
Li, Jing
,
Li, Lingfei
,
Mendoza-Arriaga, Rafael
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 2.22 MB
Your tags:
english, 2016
2
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing
Ivanov, Roman V.
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 514 KB
Your tags:
english, 2016
3
Almost-sure hedging with permanent price impact
Bouchard, Bruno
,
Loeper, Grégoire
,
Zou, Yiyi
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.36 MB
Your tags:
english, 2016
4
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre
,
Lorig, Matthew
,
Sircar, Ronnie
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.84 MB
Your tags:
english, 2016
5
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Dassios, Angelos
,
Zhang, You You
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.74 MB
Your tags:
english, 2016
6
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Cox, Alexander M. G.
,
Hou, Zhaoxu
,
Obłój, Jan
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.57 MB
Your tags:
english, 2016
7
An explicit martingale version of the one-dimensional Brenier theorem
Henry-Labordère, Pierre
,
Touzi, Nizar
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.54 MB
Your tags:
english, 2016
8
Consumption-investment problem with transaction costs for Lévy-driven price processes
De Vallière, Dimitri
,
Kabanov, Yuri
,
Lépinette, Emmanuel
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 1.44 MB
Your tags:
english, 2016
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