RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Pricing and trading credit default swaps in a hazard process model
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+Credit risk: Modelling, valuation and hedging
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+Q3515750
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+Robust numerical methods for contingent claims under jump diffusion processes
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+Time-Changed Birth Processes and Multiname Credit Derivatives
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Optimal liquidation of a call spread
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+Affine Point Processes and Portfolio Credit Risk
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+A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
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+STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE
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+DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
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+Optimal Timing to Purchase Options
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+Accounting for risk aversion in derivatives purchase timing
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+Forward indifference valuation of American options
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+American step-up and step-down default swaps under Lévy models
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+Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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