Rheinlander, Thorsten

Number of items: 11.
LSE
  • Alòs, Elisa, Chen, Zhanyu, Rheinlander, Thorsten (2016). Valuation of barrier options via a general self-duality. Mathematical Finance, 26(3), 492-515. https://doi.org/10.1111/mafi.12063
    • Statistics
  • Valenzuela, Marcela, Zer, Ilknur, Fryzlewicz, Piotr, Rheinlander, Thorsten (2015). Relative liquidity and future volatility. Journal of Financial Markets, 24, 25-48. https://doi.org/10.1016/j.finmar.2015.03.001
  • Rheinlander, Thorsten, Sexton, Jenny (2011). Hedging derivatives. World Scientific (Firm).
  • Kallsen, Jan, Rheinlander, Thorsten (2011). Asymptotic utility-based pricing and hedging for exponential utility. Statistics and Decisions, 28(1), 17-36. https://doi.org/10.1524/stnd.2011.1027
  • Rheinlander, Thorsten, Steiger, Gallus (2010). Utility indifference hedging with exponential additive processes. Asia-Pacific Financial Markets, 17(2), p. 151. https://doi.org/10.1007/s10690-009-9106-4
  • Rheinlander, Thorsten, Osterrieder, Jörg R (2006). Arbitrage opportunities in diverse markets via a non-equivalent measure change. Annals of Finance, 2(3), 287-301. https://doi.org/10.1007/s10436-006-0037-z
  • Rheinlander, Thorsten, Steiger, Gallus (2006). The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. Annals of Applied Probability, 16(3), 1319-1351. https://doi.org/10.1214/105051606000000240
  • Rheinlander, Thorsten, Steinkamp, Marcus (2005). A stochastic version of Zeeman's market model. Studies in Nonlinear Dynamics and Econometrics, 8(4), article 4.
  • Rheinlander, Thorsten (2005). An entropy approach to the Stein and Stein model with correlation. Finance and Stochastics, 9(3), 399-413. https://doi.org/10.1007/s00780-004-0149-0
  • Delbaen, Freddy, Grandits, Peter, Rheinlander, Thorsten, Samperi, Domenick, Schweizer, Martin, Stricker, Christophe (2002). Exponential hedging and entropic penalties. Mathematical Finance, 12(2), 99-123. https://doi.org/10.1111/1467-9965.02001
  • Grandits, Peter, Rheinlander, Thorsten (2002). On the minimal entropy martingale measure. Annals of Probability, 30(3), 1003-1038. https://doi.org/10.1214/aop/1029867119