Jan Vecer

Available identifiers

Publication	Date of Publication	Type
Optimal liquidation problem in illiquid markets	2021-11-09	Paper
Options on a traded account: symmetric treatment of the underlying assets	2020-02-10	Paper
Pricing Asian options in a semimartingale model	2019-01-15	Paper
Risk based capital for guaranteed minimum withdrawal benefit	2018-11-19	Paper
Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts	2017-06-14	Paper
Explicit density approximations for local volatility models using heat kernel expansions	2016-11-11	Paper
Asian options on the harmonic average	2015-04-16	Paper
Black-Scholes representation for Asian options	2014-08-11	Paper
Valuing callable and putable revenue-performance-linked project backed securities	2010-09-16	Paper
Portfolio sensitivity to changes in the maximum and the maximum drawdown	2010-08-05	Paper
https://portal.mardi4nfdi.de/entity/Q3561030	2010-05-17	Paper
Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups	2009-07-29	Paper
PDE methods for maximum drawdown	2009-04-28	Paper
Drawdowns preceding rallies in the Brownian motion model	2007-05-09	Paper
Insider Trading in Convergent Markets	2005-10-27	Paper
The mean comparison theorem cannot be extended to the Poisson case	2005-04-04	Paper
Options on a traded account: Vacation calls, vacation puts and passport options	2001-03-01	Paper

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