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Dirk BechererPapers With Code
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no code implementations • 16 Jul • Dirk Becherer, Todor Bilarev. We solve the superhedging problem for European options in an illiquid extension of the ...
Robust Techniques in Quantitative Finance
people.maths.ox.ac.uk
Dirk Becherer — Good Deal Hedging and Valuation under Combined Uncertainty about Drift & Volatility. Humboldt Universitat zu Berlin.
Doktoranden M. Schweizer
people.math.ethz.ch
— "Quadratic Hedging Approaches and Indifference Pricing in Insurance" University of Copenhagen; Dirk Becherer (Oktober 2001) › ~mschweiz › ms_PhD_ger
International Bibliography Of Economics 2003: International...
books.google.de
J. Risk Uncert. 27:2 10:2003 pp Rationa1 hedging and va1uation of integrated risks under constant abso1ute risk aversion. Dirk Becherer. 1nsur.
Hedging with Transient Price Impact for Non-Covered and ...Social Science Research Network
papers.ssrn.com
von D Becherer · · Zitiert von: 2 — Dirk Becherer · Todor Bilarev · Do you have a job opening that you would like to promote on SSRN? · Paper statistics · Related eJournals · Cookie ...
BFS Abstracts: Becherer_Dirk-77
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Dirk Becherer. We study a rational valuation and hedging principle for contingent claims which integrate tradable and untradable sources of risk. The principle is ...
@misc{BechererWard2009, author = {Dirk Becherer and Ian Ward ...
opus4.kobv.de
@misc{BechererWard2009, author = {Dirk Becherer and Ian Ward}, title = {Optimal Weak Static Hedging of Equidty and Credit Risk Using Derivatives}, institution ...
Good Deal Hedging and Valuation Under Combined Uncertainty About...
papers.ssrn.com
We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset prices for incomplete markets. Good-deal
Classical Solutions to Reaction-Diffusion Systems for Hedging...
www.jstor.org
We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling...
DMV-Jahrestagung in Hamburg
www.math.uni-hamburg.de
Angenommene Sektionsvorträge / Accepted Section Presentations Klebert Kentia (Berlin), Dirk Becherer (Berlin), Hedging under good-deal bounds and model uncertainty;
Hedging in affine stochastic volatility models
macau.uni-kiel.de
DDC Sachgebiet: 510 Mathematik. Datum der mdl. Prüfung: Referent(in): Prof. Dr. Jan Kallsen. Korreferent(en) Korreferentin: Prof. Dr. Dirk Becherer.
CIRM Scientific Eventsconferences.cirm-math.fr › ...
conferences.cirm-math.fr
Dirk Becherer (Humboldt University Berlin) Good Deal Hedging and Valuation under Combined Uncertainty about Drift & Volatility: a 2nd-order-BSD approach ...
BFS Poster Presentations for Wednesday, June 12, 2002
www.bacheliercongress.com
Dirk Becherer. Mean-Variance Hedging with Proportional Transaction Costs Ales Cerny. A Combinatorial Approach for Pricing Parisian Options
Hedging of claims with physical delivery under convex ...KOBV
www.opus4.kobv.de
Dirk Becherer. Sprache: Englisch. Datum der Erstveröffentlichung: Preprint-Nummer: OPUS4 Logo · Kontakt · Impressum · Sitelinks. Einverstanden ...
Good deal hedging and valuation under combined uncertainty about ...www.aimsciences.org › article › doi
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Citation: Dirk Becherer, Klebert Kentia. Good deal hedging and valuation under combined uncertainty about drift and volatility. Probability, Uncertainty and ...
Hedging of claims with physical delivery under convex ...
www.opus4.kobv.de
Gutachter*in: Dirk Becherer. Sprache: Englisch. Datum der Erstveröffentlichung: Preprint-Nummer: OPUS4 Logo. › raction › index › docId
[PDF] Utility–indifference hedging and valuation via...
www.semanticscholar.org
By Dirk Becherer. Department of Mathematics, Imperial College, London SW7 2AZ, UK. This article studies the exponential utility-indifference approach to the ...
Abstracts for the talks - MPI MIS
www.mis.mpg.de
— Dirk Becherer (Imperial College , United Kingdom) Friday, April 22, On Constructive Solutions for Hedging and Valuation by Utility ... › finance
Rational hedging and valuation of integrated risks under constant...
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We study a rational valuation and hedging principle for contingent claims which integrate tradable and non-tradable sources of risk. The principle is based on...
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