Suchergebnisse

On the ordering of option prices, Oberwolfach Workshop: Stochastic Analysis in Finance and Insurance, January 27–February 02, 2008, extended abstract

Ordering of insurance risk, In: Encyclopedia of Quantitative Risk Analysis and Assessment Vol. III, Eds.: Edward L. Melnick, Brian S. Everitt, Wiley (2008)

Ordering of insurance risk, In: Encyclopedia of Quantitative Risk Analysis and Assessment Vol. III, Eds.: Edward L. Melnick, Brian S. Everitt, Wiley (2008)

Ordering of insurance risk, In: Encyclopedia of Quantitative Risk Analysis and Assessment Vol. III, Eds.: Edward L. Melnick, Brian S. Everitt, Wiley (2008)

Ordering of insurance risk, In: Encyclopedia of Quantitative Risk Analysis and Assessment Vol. III, Eds.: Edward L. Melnick, Brian S. Everitt, Wiley (2008)

Sato processes and the valuation of structured products. Quantitative Finance 9 (1) (2009), 27–42 (with D. B. Madan)

Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance 17(3) (2010), 211–240 (with K. Glau and A. Papapantoleon) (pdf) Author Posting. (c) 'Taylor & Francis', 2009. This is the author's version of the work. It is posted here by permission of 'Taylor & Francis' for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, , January 2010. doi:10.1080/13504860903326669 (http://dx.doi.org/10.1080/13504860903326669)

Esscher transform and the duality principle for multidimensional semimartingales. The Annals of Applied Probability 19 (2009), 1944–1971 (with A. Papapantoleon and A. N. Shiryaev)

Hedge fund performance: sources and measures. International Journal of Theoretical and Applied Finance 12 (3) (2009), 267–282 (with D. B. Madan)

Jump-type Lévy processes. In Handbook of Financial Time Series, T. G. Andersen, R. A. Davis, J.-P. Kreiß, T. Mikosch, Springer Verlag (2009), pp 439–455