Anomalous PDEs in Markov chains: Domains of validity and numerical solutions (English)
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In:
Finance and Stochastics
;
9
, 4
;
519-537
;
2005
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ISSN:
- Article (Journal) / Print
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Title:Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
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Contributors:Norberg, Ragnar ( author )
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Published in:Finance and Stochastics ; 9, 4 ; 519-537
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Publisher:
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Publication date:2005
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Size:19 Seiten, 5 Quellen
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
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Keywords:
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Source:
Table of contents – Volume 9, Issue 4
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 453
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Pricing options on realized varianceCarr, Peter / Geman, Hélyette / Madan, Dilip B. / Yor, Marc et al. | 2005
- 477
-
Local martingales, bubbles and option pricesCox, Alexander M. G. / Hobson, David G. et al. | 2005
- 493
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Utility maximization in incomplete markets for unbounded processesBiagini, Sara / Frittelli, Marco et al. | 2005
- 519
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Anomalous PDEs in Markov chains: Domains of validity and numerical solutionsNorberg, Ragnar et al. | 2005
- 539
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Conditional and dynamic convex risk measuresDetlefsen, Kai / Scandolo, Giacomo et al. | 2005
- 563
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumpsBenth, Fred Espen / Meyer-Brandis, Thilo et al. | 2005
- 577
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A note on the large homogeneous portfolio approximation with the Student-t copulaSchloegl, Lutz / O’Kane, Dominic et al. | 2005
- 585
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Optimal investment with derivative securitiesÍlhan, Aytaç / Jonsson, Mattias / Sircar, Ronnie et al. | 2005
- 597
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Robust representation of convex risk measures by probability measuresKrätschmer, Volker et al. | 2005