Advances in Finance and Stochastics
Latest Publications

TOTAL DOCUMENTS

16

(FIVE YEARS 0)

H-INDEX

8

(FIVE YEARS 0)

Published By Springer Berlin Heidelberg

9783642077920, 9783662047903

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

A Simple Model of Liquidity Effects

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_9 ◽

2002 ◽

pp. 161-176 ◽

Cited By ~ 26

Author(s):

L.-C.-G. Rogers ◽

Omar Zane

Keyword(s):

Simple Model

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Hedging of Contingent Claims under Transaction Costs

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_7 ◽

2002 ◽

pp. 125-136 ◽

Cited By ~ 17

Author(s):

Yuri M. Kabanov ◽

Christophe Stricker

Keyword(s):

Transaction Costs ◽

Contingent Claims

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Long Head-Runs and Long Match Patterns

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_3 ◽

2002 ◽

pp. 57-69 ◽

Cited By ~ 2

Author(s):

Paul Embrechts ◽

Sergei Y. Novak

Keyword(s):

Long Head

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Risk Management for Derivatives in Illiquid Markets: A Simulation Study

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_8 ◽

2002 ◽

pp. 137-159 ◽

Cited By ~ 28

Author(s):

Rüdiger Frey ◽

Pierre Patie

Keyword(s):

Risk Management ◽

Simulation Study ◽

Illiquid Markets

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Arbitrage-Free Interpolation in Models of Market Observable Interest Rates

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_11 ◽

2002 ◽

pp. 197-218 ◽

Cited By ~ 17

Author(s):

Erik Schlögl

Keyword(s):

Interest Rates ◽

Free Interpolation

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Coherent Risk Measures on General Probability Spaces

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_1 ◽

2002 ◽

pp. 1-37 ◽

Cited By ~ 236

Author(s):

Freddy Delbaen

Keyword(s):

Risk Measures ◽

Coherent Risk Measures ◽

Coherent Risk ◽

Probability Spaces

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Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_10 ◽

2002 ◽

pp. 177-195 ◽

Cited By ~ 1

Author(s):

Ramaprasad Bhar ◽

Carl Chiarella ◽

Wolfgang J. Runggaldier

Keyword(s):

Interest Rate ◽

Short Term ◽

Bayesian Algorithm

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Solving the Poisson Disorder Problem

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_16 ◽

2002 ◽

pp. 295-312 ◽

Cited By ~ 45

Author(s):

Goran Peskir ◽

Albert N. Shiryaev

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On Bermudan Options

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_13 ◽

2002 ◽

pp. 257-270 ◽

Cited By ~ 8

Author(s):

Martin Schweizer

Keyword(s):

Bermudan Options

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Laplace Transforms and Suprema of Stochastic Processes

Advances in Finance and Stochastics ◽

10.1007/978-3-662-04790-3_15 ◽

2002 ◽

pp. 285-294 ◽

Cited By ~ 11

Author(s):

Klaus Schürger

Keyword(s):

Stochastic Processes ◽

Laplace Transforms

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