6 Treffer für Schlagwort = "robust finance"
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Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty
Hölzermann, Julian
2018
Optimal consumption and portfolio choice with ambiguity
Lin, Qian ; Riedel, Frank
2014
Pricing Interest Rate Derivatives under Volatility Uncertainty
Hölzermann, Julian
2020
Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion
Hölzermann, Julian ; Lin, Qian
2019
Viability and Arbitrage Under Knightian Uncertainty
Burzoni, Matteo ; Riedel, Frank ; Soner, H. Mete
In: Econometrica, Jg. 89 H. 3, S. 1207-1234
Viability and arbitrage under Knightian Uncertainty
Burzoni, Matteo ; Riedel, Frank ; Soner, Halil Mete
2017