Items where Author is "Rheinlander, Thorsten"

Number of items: 11.
  • Valuation of barrier options via a general self-duality. (2016) Alòs, Elisa; Chen, Zhanyu; Rheinlander, Thorsten
  • Relative liquidity and future volatility. (2015) Valenzuela, Marcela; Zer, Ilknur; Fryzlewicz, Piotr; Rheinlander, Thorsten
  • Hedging derivatives. (2011) Rheinlander, Thorsten; Sexton, Jenny
  • Asymptotic utility-based pricing and hedging for exponential utility. (2011) Kallsen, Jan; Rheinlander, Thorsten
  • Utility indifference hedging with exponential additive processes. (2010) Rheinlander, Thorsten; Steiger, Gallus
  • Arbitrage opportunities in diverse markets via a non-equivalent measure change. (2006) Rheinlander, Thorsten; Osterrieder, Jörg R
  • The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. (2006) Rheinlander, Thorsten; Steiger, Gallus
  • A stochastic version of Zeeman's market model. (2005) Rheinlander, Thorsten; Steinkamp, Marcus
  • An entropy approach to the Stein and Stein model with correlation. (2005) Rheinlander, Thorsten
  • Exponential hedging and entropic penalties. (2002) Delbaen, Freddy; Grandits, Peter; Rheinlander, Thorsten; Samperi, Domenick; Schweizer, Martin; Stricker, Christophe
  • On the minimal entropy martingale measure. (2002) Grandits, Peter; Rheinlander, Thorsten