Frey, Rüdiger, Patie, Pierre. 2002. Risk Management for Derivatives in Illiquid Markets:
A Simulation Study. In: Advances in Finance and Stochastics, Hrsg. Sandmann, Klaus; Schönbucher, Philip J. (Eds.), 137-160. Berlin: Springer.
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Abstract
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Chapter in edited volume |
Language | English |
Title | Risk Management for Derivatives in Illiquid Markets: A Simulation Study |
Title of whole publication | Advances in Finance and Stochastics |
Editor | Sandmann, Klaus; Schönbucher, Philip J. (Eds.) |
Page from | 137 |
Page to | 160 |
Location | Berlin |
Publisher | Springer |
Year | 2002 |
URL | http://www.amazon.com/Advances-Finance-Stochastics-Essays-Sondermann/dp/354043464X |
Associations
- People
- Frey, Rüdiger (Details)
- External
- Patie, Pierre
- Organization
- Institute for Statistics and Mathematics IN (Details)