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Consortium of Swiss Academic Libraries

Existence of shadow prices in finite probability spaces

Kallsen, Jan ; Muhle-Karbe, Johannes

In: Mathematical Methods of Operations Research, 2011, vol. 73, no. 2, p. 251-262

Consortium of Swiss Academic Libraries

Robust parameter estimation for the Ornstein-Uhlenbeck process

Rieder, Sonja

In: Statistical Methods & Applications, 2012, vol. 21, no. 4, p. 411-436

Consortium of Swiss Academic Libraries

Local volatility of volatility for the VIX market

Drimus, Gabriel ; Farkas, Walter

In: Review of Derivatives Research, 2013, vol. 16, no. 3, p. 267-293

Consortium of Swiss Academic Libraries

Indifference pricing for CRRA utilities

Malamud, Semyon ; Trubowitz, Eugene ; Wüthrich, Mario

In: Mathematics and Financial Economics, 2013, vol. 7, no. 3, p. 247-280

Consortium of Swiss Academic Libraries

Numerical weather prediction as a surrogate for climate observations in practical applications

Müller, M. ; Parlow, E.

In: Theoretical and Applied Climatology, 2013, vol. 111, no. 3-4, p. 577-584

Consortium of Swiss Academic Libraries

The pricing of idiosyncratic risk: evidence from the implied volatility distribution

Süss, Stephan

In: Financial Markets and Portfolio Management, 2012, vol. 26, no. 2, p. 247-267