Model-free CPPI (Q1994390): Difference between revisions

@@ Property / arXiv ID @@
+.5915
@@ Property / arXiv ID: 1305.5915 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4267848
@@ Property / cites work: Q4267848 / rank @@
+Normal rank
@@ Property / cites work @@
+Effectiveness of CPPI strategies under discrete-time trading
+Normal rank
@@ Property / cites work @@
+Pricing by hedging and no-arbitrage beyond semimartingales
+Normal rank
@@ Property / cites work @@
+Fractional Processes as Models in Stochastic Finance
+Normal rank
@@ Property / cites work @@
+Dynamic spanning without probabilities
@@ Property / cites work: Dynamic spanning without probabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of constant proportion portfolio insurance
@@ Property / cites work: Theory of constant proportion portfolio insurance / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent variance curve models
@@ Property / cites work: Consistent variance curve models / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Double Touch Barrier Options
@@ Property / cites work: Robust Hedging of Double Touch Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Q3911166
@@ Property / cites work: Q3911166 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4408025
@@ Property / cites work: Q4408025 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Probabilistic aspects of finance
@@ Property / cites work: Probabilistic aspects of finance / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
+Normal rank
@@ Property / cites work @@
+One-Dimensional Pricing of CPPI
@@ Property / cites work: One-Dimensional Pricing of CPPI / rank @@
+Normal rank
@@ Property / cites work @@
+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
+Normal rank
@@ Property / cites work @@
+Q4220653
@@ Property / cites work: Q4220653 / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to stochastic calculus for finance. A new didactic approach.
+Normal rank