Finance and Stochastics: Forthcoming papers
- already available on Springer's Online First page
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- in press:
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- more accepted papers:
- Zähle, H. A concept of copula robustness and its applications in quantitative risk management
- Kühn, C. and Molitor, A. Semimartingale price systems in models with transaction costs beyond
efficient friction
- Asmussen, S. On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- Achdou, Y., Bertucci, C., Lasry, J.M., Lions, P.L., Rostand. A. and Scheinkman, J. A class of short-term models for the oil industry addressing speculative storage
- Arrouy, P.-E., Boumezoued, A., Lapeyre, B. and Mehalla, S. Jacobi stochastic volatility factor for the Libor market model
- González Cázares, J. and Mijatović, A. Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- Kabanov, Y. and Pergamenshchikov, S. On ruin probabilities with investments in a risky asset with a switching regime price
Last update
24.05.2022
Jean-Luc Pfisterer