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Finance and Stochastics

Ausgabe 1/2017

Inhalt (8 Artikel)

Hedging with small uncertainty aversion

Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried

Open Access

Continuous-time perpetuities and time reversal of diffusions

Constantinos Kardaras, Scott Robertson

Open Access

Watermark options

Neofytos Rodosthenous, Mihail Zervos

Optimal consumption and investment with Epstein–Zin recursive utility

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried

Open Access

Market completion with derivative securities

Daniel C. Schwarz