The Interval Market Model in Mathematical Finance
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9780817683870, 9780817683887
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Continuous-Time Limits

2012 ◽  
pp. 273-283
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Continuous Time ◽  
Time Limits

Credit Derivatives

2012 ◽  
pp. 285-289
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Credit Derivatives

Rainbow Options in Discrete Time, II

2012 ◽  
pp. 261-272
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Discrete Time

Computational Methods Based on the Guaranteed Capture Basin Algorithm

2012 ◽  
pp. 293-317
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Computational Methods

Appendix: Proofs

2012 ◽  
pp. 79-86
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  

Optimal Hedging Under Robust-Cost Constraints

2012 ◽  
pp. 65-77
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Cost Constraints ◽  
Optimal Hedging

Rainbow Options in Discrete Time, I

2012 ◽  
pp. 249-260
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Discrete Time

Continuous and Discrete-Time Option Pricing and Interval Market Model

2012 ◽  
pp. 91-105
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Market Model

Option Pricing: Classic Results

2012 ◽  
pp. 17-26
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Option Pricing

Digital Options

2012 ◽  
pp. 167-197
Author(s):  
Pierre Bernhard ◽  
Jacob C. Engwerda ◽  
Berend Roorda ◽  
J. M. Schumacher ◽  
Vassili Kolokoltsov ◽  
...  
Keyword(s):  
Digital Options
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