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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar, Fukasawa, Masaaki, Rosenbaum, Mathieu
Published in Finance and stochastics (01.04.2018)
Published in Finance and stochastics (01.04.2018)
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Journal Article
Adapted Wasserstein distances and stability in mathematical finance
Backhoff-Veraguas, Julio, Bartl, Daniel, Beiglböck, Mathias, Eder, Manu
Published in Finance and stochastics (01.07.2020)
Published in Finance and stochastics (01.07.2020)
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Journal Article
Model-independent bounds for option prices—a mass transport approach
Beiglböck, Mathias, Henry-Labordère, Pierre, Penkner, Friedrich
Published in Finance and stochastics (01.07.2013)
Published in Finance and stochastics (01.07.2013)
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Journal Article
Comparative and qualitative robustness for law-invariant risk measures
Krätschmer, Volker, Schied, Alexander, Zähle, Henryk
Published in Finance and stochastics (01.04.2014)
Published in Finance and stochastics (01.04.2014)
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Journal Article
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel, Lunde, Asger, Pakkanen, Mikko S.
Published in Finance and stochastics (01.10.2017)
Published in Finance and stochastics (01.10.2017)
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Journal Article