13 results
Robust long-term interest rate risk hedging in incomplete bond markets
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- Journal:
- Journal of Pension Economics & Finance / Volume 20 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 07 July 2020, pp. 273-300
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Optimal consumption of multiple goods in incomplete markets
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- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
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- 16 November 2018, pp. 810-822
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- September 2018
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Robust hedging in incomplete markets
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- Journal of Pension Economics & Finance / Volume 18 / Issue 3 / July 2019
- Published online by Cambridge University Press:
- 16 March 2018, pp. 473-493
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Optimal investment with intermediate consumption under no unbounded profit with bounded risk
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- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
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- 15 September 2017, pp. 710-719
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- September 2017
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RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR
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- Probability in the Engineering and Informational Sciences / Volume 31 / Issue 2 / April 2017
- Published online by Cambridge University Press:
- 05 January 2017, pp. 207-225
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On Valuation and Risk Management at the Interface of Insurance and Finance
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- British Actuarial Journal / Volume 8 / Issue 4 / 01 October 2002
- Published online by Cambridge University Press:
- 10 June 2011, pp. 787-827
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On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
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- Journal of Applied Probability / Volume 44 / Issue 4 / December 2007
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- 14 July 2016, pp. 880-888
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- December 2007
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A Discrete-Time Model for Reinvestment Risk in Bond Markets*
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- ASTIN Bulletin: The Journal of the IAA / Volume 37 / Issue 2 / November 2007
- Published online by Cambridge University Press:
- 17 April 2015, pp. 235-264
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- November 2007
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Locally Risk-minimizing Hedging of Insurance Payment Streams
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- ASTIN Bulletin: The Journal of the IAA / Volume 37 / Issue 1 / May 2007
- Published online by Cambridge University Press:
- 17 April 2015, pp. 67-91
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- May 2007
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Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds*
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- ASTIN Bulletin: The Journal of the IAA / Volume 37 / Issue 1 / May 2007
- Published online by Cambridge University Press:
- 17 April 2015, pp. 163-183
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- May 2007
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Derivatives pricing via p-optimal martingale measures: some extreme cases
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- Journal of Applied Probability / Volume 43 / Issue 3 / September 2006
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- 14 July 2016, pp. 634-651
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- September 2006
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Minimal martingale measures for jump diffusion processes
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 263-270
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- March 2004
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Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
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- ASTIN Bulletin: The Journal of the IAA / Volume 28 / Issue 1 / May 1998
- Published online by Cambridge University Press:
- 29 August 2014, pp. 17-47
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- May 1998
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