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Security Pricing with Information-Sensitive Discounting

Economy – Quantitative Finance – Pricing of Securities
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Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

Economy – Quantitative Finance – Pricing of Securities
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Semi-static hedging for certain Margrabe type options with barriers

Economy – Quantitative Finance – Pricing of Securities
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Small-time asymptotics for fast mean-reverting stochastic volatility models

Economy – Quantitative Finance – Pricing of Securities
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Small-Time Asymptotics of Option Prices and First Absolute Moments

Economy – Quantitative Finance – Pricing of Securities
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Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

Economy – Quantitative Finance – Pricing of Securities
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Smart expansion and fast calibration for jump diffusion

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Smile dynamics -- a theory of the implied leverage effect

Economy – Quantitative Finance – Pricing of Securities
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Smiles all around: FX joint calibration in a multi-Heston model

Economy – Quantitative Finance – Pricing of Securities
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Solvable Nonlinear Volatility Diffusion Models with Affine Drift

Economy – Quantitative Finance – Pricing of Securities
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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Economy – Quantitative Finance – Pricing of Securities
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Spectral methods for volatility derivatives

Economy – Quantitative Finance – Pricing of Securities
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Spin models as microfoundation of macroscopic financial market models

Economy – Quantitative Finance – Pricing of Securities
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Stochastic discount factors

Economy – Quantitative Finance – Pricing of Securities
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Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products

Economy – Quantitative Finance – Pricing of Securities
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Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing

Economy – Quantitative Finance – Pricing of Securities
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Stock loan with Automatic termination clause, cap and margin

Economy – Quantitative Finance – Pricing of Securities
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Strict Local Martingale Deflators and Pricing American Call-Type Options

Economy – Quantitative Finance – Pricing of Securities
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Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae

Economy – Quantitative Finance – Pricing of Securities
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Superhedging in illiquid markets

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