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| 1. | MALLIAVIN CALCULUS FOR THE FAST COMPUTATION OF GREEKS IN MARKETS DRIVEN BY PURE-JUMP LEVY PROCESSES
Publishing author: HUEHNE Florian
Co-author(s):
Working paper (2005 - Oxford University) - English
Online since 2005.11.10 at 10:33:53 -
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Abstract | Download (.pdf - 233 KB) - Zip version (206 KB) |
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| 2. | DEFAULTABLE LEVY LIBOR RATES AND CREDIT DERIVATIVES
Publishing author: HUEHNE Florian
Co-author(s):
Working paper (2005 - Oxford University) - English
Online since 2005.11.10 at 10:26:17 -
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Abstract | Download (.pdf - 271 KB) - Zip version (241 KB) |
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| 3. | A Clark-Ocone-Haussman Formula for Optimal Portfolios under Girsanov transformed pure-jump Lévy processes
Publishing author: HUEHNE Florian
Co-author(s):
Working paper (2005) - English
Online since 2005.08.25 at 17:12:21 -
38 download(s) - 0
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Abstract | Download (.pdf - 222 KB) - Zip version (197 KB) |
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