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The affine LIBOR models

Economy – Quantitative Finance – Pricing of Securities
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The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints

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The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options

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The derivatives of Asian call option prices

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The explicit Laplace transform for the Wishart process

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The fractional volatility model: No-arbitrage, leverage and risk measures

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The fundamental theorem of asset pricing under proportional transaction costs

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The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions

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The Impact of Credit Risk and Implied Volatility on Stock Returns

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The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

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The impact of uncertainties on the pricing of contingent claims

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The Impossible Trio in CDO Modeling

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The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds

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The numeraire portfolio in semimartingale financial models

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The price of bond and European option on bond without credit risk. Classical look and its quantum extension

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The Quantum Black-Scholes Equation

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The Small and Large Time Implied Volatilities in the Minimal Market Model

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The small-maturity smile for exponential Levy models

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The Underlying Dynamics of Credit Correlations

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The Variance of Standard Option Returns

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