133 results in 91Gxx
Sticky Continuous Processes have Consistent Price Systems
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 586-594
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- June 2015
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Optimal claims with fixed payoff structure
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 175-188
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- December 2014
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A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
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- The ANZIAM Journal / Volume 56 / Issue 1 / July 2014
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- 09 October 2014, pp. 1-27
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OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
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- The ANZIAM Journal / Volume 56 / Issue 1 / July 2014
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- 09 October 2014, pp. 66-90
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A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY
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- The ANZIAM Journal / Volume 55 / Issue 4 / April 2014
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- 10 September 2014, pp. 362-382
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Comparison Results for GARCH Processes
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- Journal of Applied Probability / Volume 51 / Issue 3 / September 2014
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- 30 January 2018, pp. 685-698
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- September 2014
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Modelling Electricity Futures by Ambit Fields
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- Advances in Applied Probability / Volume 46 / Issue 3 / September 2014
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- 22 February 2016, pp. 719-745
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- September 2014
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A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering
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- Advances in Applied Probability / Volume 46 / Issue 3 / September 2014
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- 22 February 2016, pp. 766-789
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- September 2014
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The Optimal Dividend Problem in the Dual Model
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- Advances in Applied Probability / Volume 46 / Issue 3 / September 2014
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- 22 February 2016, pp. 746-765
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- September 2014
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Pairs Trading with Opportunity Cost
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- Journal of Applied Probability / Volume 51 / Issue 1 / March 2014
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- 30 January 2018, pp. 282-286
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- March 2014
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Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
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- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
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- 30 January 2018, pp. 983-1005
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- December 2013
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Optimal Portfolios for Financial Markets with Wishart Volatility
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- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
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- 30 January 2018, pp. 1025-1043
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- December 2013
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A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA
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- The ANZIAM Journal / Volume 54 / Issue 4 / April 2013
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- 04 September 2013, pp. 248-272
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A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
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- Journal of Applied Probability / Volume 50 / Issue 3 / September 2013
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- 30 January 2018, pp. 801-809
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- September 2013
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Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
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- Advances in Applied Probability / Volume 45 / Issue 2 / June 2013
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- 22 February 2016, pp. 545-571
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- June 2013
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Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
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- Advances in Applied Probability / Volume 45 / Issue 2 / June 2013
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- 22 February 2016, pp. 572-594
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- June 2013
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Optimal Closing of a Momentum Trade
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- Journal of Applied Probability / Volume 50 / Issue 2 / June 2013
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- 30 January 2018, pp. 374-387
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- June 2013
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Asian Options Under One-Sided Lévy Models
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- Journal of Applied Probability / Volume 50 / Issue 2 / June 2013
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- 30 January 2018, pp. 359-373
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- June 2013
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Conditional Distributions of Processes Related to Fractional Brownian Motion
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- Journal of Applied Probability / Volume 50 / Issue 1 / March 2013
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- 30 January 2018, pp. 166-183
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- March 2013
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Improving the Asmussen–Kroese-Type Simulation Estimators
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- Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
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- 30 January 2018, pp. 1188-1193
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- December 2012
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