Option Pricing, Interest Rates and Risk Management
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Published By Cambridge University Press

9780511569708

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.014 ◽

2010 ◽

pp. 477-508 ◽

Cited By ~ 1

Author(s):

P. Glasserman

Keyword(s):

Futures Contracts ◽

Short Term ◽

Shortfall Risk

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Bayesian Adaptive Portfolio Optimization

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.018 ◽

2010 ◽

pp. 632-669 ◽

Cited By ~ 28

Author(s):

I. Karatzas ◽

X. Zhao

Keyword(s):

Portfolio Optimization

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Market Models with Frictions: Arbitrage and Pricing Issues

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.003 ◽

2010 ◽

pp. 43-66

Author(s):

E. Jouini ◽

C. Napp

Keyword(s):

Market Models

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Credit Risk Modelling: Intensity Based Approach

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.012 ◽

2010 ◽

pp. 399-457 ◽

Cited By ~ 1

Author(s):

T. R. Bielecki ◽

M. Rutkowski

Keyword(s):

Credit Risk ◽

Risk Modelling

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Towards a Central Interest Rate Model

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.009 ◽

2010 ◽

pp. 278-313 ◽

Cited By ~ 15

Author(s):

A. Brace ◽

T. Dun ◽

G. Barton

Keyword(s):

Interest Rate ◽

Rate Model ◽

Central Interest ◽

Interest Rate Model

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Towards a Theory of Volatility Trading

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.013 ◽

2010 ◽

pp. 458-476 ◽

Cited By ~ 176

Author(s):

P. Carr ◽

D. Madan

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Latent Variable Models for Stochastic Discount Factors

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.006 ◽

2010 ◽

pp. 154-184 ◽

Cited By ~ 1

Author(s):

R. Garcia ◽

E. Renault

Keyword(s):

Latent Variable ◽

Latent Variable Models ◽

Discount Factors ◽

Stochastic Discount Factors

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Theory of Portfolio Optimization in Markets with Frictions

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.017 ◽

2010 ◽

pp. 577-631 ◽

Cited By ~ 9

Author(s):

J. Cvitanić

Keyword(s):

Portfolio Optimization

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Purely Discontinuous Asset Price Processes

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.005 ◽

2010 ◽

pp. 105-153 ◽

Cited By ~ 10

Author(s):

D. B. Madan

Keyword(s):

Asset Price

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Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging

Option Pricing, Interest Rates and Risk Management ◽

10.1017/cbo9780511569708.015 ◽

2010 ◽

pp. 509-537 ◽

Cited By ~ 10

Author(s):

D. Heath ◽

E. Platen ◽

M. Schweizer

Keyword(s):

Numerical Comparison ◽

Risk Minimisation ◽

Local Risk ◽

Mean Variance ◽

Local Risk Minimisation

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Option Pricing, Interest Rates and Risk ManagementLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Cambridge University Press

Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts

Bayesian Adaptive Portfolio Optimization

Market Models with Frictions: Arbitrage and Pricing Issues

Credit Risk Modelling: Intensity Based Approach

Towards a Central Interest Rate Model

Towards a Theory of Volatility Trading

Latent Variable Models for Stochastic Discount Factors

Theory of Portfolio Optimization in Markets with Frictions

Purely Discontinuous Asset Price Processes

Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging

Option Pricing, Interest Rates and Risk Management
Latest Publications