Entity usage

This page lists pages that use the given entity (e.g. Q42). The list is sorted by descending page ID, so that newer pages are listed first.

Showing below up to 50 results in range #51 to #100.

Hedging with physical or cash settlement under transient multiplicative price impact: Label: en
A general approach for Parisian stopping times under Markov processes: Label: en
Optimal execution with multiplicative price impact and incomplete information on the return: Label: en
Contagious McKean-Vlasov systems with heterogeneous impact and exposure: Label: en
Obituary: Tomas Björk. Thank you, Tomas!: Label: en
Asset pricing with dynamically inconsistent agents: Label: en
Robust utility maximisation with intractable claims: Label: en
Present-biased lobbyists in linear-quadratic stochastic differential games: Label: en
Discount models: Label: en
A stochastic control perspective on term structure models with roll-over risk: Label: en
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments: Label: en
In memoriam: Tomas Björk (1947--2021). On his career and beyond: Label: en
Editorial: Special issue in memory of Tomas Björk: Label: en
Hybrid scheme for Brownian semistationary processes: Label: en
Nonparametric estimation for stochastic volatility models: Label: en
A continuous-time model of self-protection: Label: en
Optimal insurance under maxmin expected utility: Label: en
Optional projection under equivalent local martingale measures: Label: en
Market-to-book ratio in stochastic portfolio theory: Label: en
Optimal dividends under a drawdown constraint and a curious square-root rule: Label: en
Price impact in Nash equilibria: Label: en
Semimartingale price systems in models with transaction costs beyond efficient friction: Label: en
Bubbles in discrete-time models: Label: en
On ruin probabilities with investments in a risky asset with a regime-switching price: Label: en
A concept of copula robustness and its applications in quantitative risk management: Label: en
Jacobi stochastic volatility factor for the LIBOR market model: Label: en
The characteristic function of Gaussian stochastic volatility models: an analytic expression: Label: en
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation: Label: en
Taylor approximation of incomplete Radner equilibrium models: Label: en
Addendum to: ``Multilevel dual approach for pricing American style derivatives: Label: en
Hedge and mutual funds' fees and the separation of private investments: Label: en
Forward equations for option prices in semimartingale models: Label: en
On a Heath-Jarrow-Morton approach for stock options: Label: en
Approximate hedging for nonlinear transaction costs on the volume of traded assets: Label: en
Static hedging under maturity mismatch: Label: en
Utility maximization under increasing risk aversion in one-period models: Label: en
Optimal portfolio of low liquid assets with a log-utility function: Label: en
Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints: Label: en
Utility maximization and risk minimization in life and pension insurance: Label: en
Generalized deviations in risk analysis: Label: en
Iterative construction of the optimal Bermudan stopping time: Label: en
An exact analytical solution for discrete barrier options: Label: en
Robust representation of convex risk measures by probability measures: Label: en
Optimal investment with derivative securities: Label: en
A note on the large homogeneous portfolio approximation with the Student-\(t\) copula: Label: en
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps: Label: en
Conditional and dynamic convex risk measures: Label: en
Anomalous PDEs in Markov chains: domains of validity and numerical solutions: Label: en
Utility maximization in incomplete markets for unbounded processes: Label: en
Local martingales, bubbles and option prices: Label: en