Quotation 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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Publication's profile

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

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People
Frey, Rüdiger (Details)
External
Patie, Pierre
Organization
Institute for Statistics and Mathematics IN (Details)
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