Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing
Stock loan with Automatic termination clause, cap and margin
Strict Local Martingale Deflators and Pricing American Call-Type Options
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Superhedging in illiquid markets
The affine LIBOR models
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
The derivatives of Asian call option prices
The explicit Laplace transform for the Wishart process
The fractional volatility model: No-arbitrage, leverage and risk measures
The fundamental theorem of asset pricing under proportional transaction costs
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Impact of Credit Risk and Implied Volatility on Stock Returns
The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
The impact of uncertainties on the pricing of contingent claims
The Impossible Trio in CDO Modeling
The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds
The numeraire portfolio in semimartingale financial models