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Local Expected Shortfall-Hedging in Discrete Time
16 references·1 citing·34 second hopsampled
Local Expected Shortfall-Hedging in Discrete Time (2003)Local Expected Shortfall-Hedging in Discr…Coherent Measures of Risk (1999)Coherent Measures of RiskIntroduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (2008)Dynamic hedging of single and…Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1993Dynamic Asset Pricing Theory.2,926 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited

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1993
Jump Diffusion Option Valuation in Discrete Time
320 cited

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  • 2008Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach24 cited