SCOPUS 정보 검색 플랫폼

Volumn 336, Issue 6, 2003, Pages 493-498

Optimal design of financial derivatives;Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables

(2) Barrieu, Pauline a El Karoui, Nicole b

a LONDON SCHOOL OF ECONOMICS (United Kingdom)

b CENTRE DE MATHÉMATIQUES APPLIQUÉES (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037715217 PISSN: 1631073X EISSN: None Source Type: Journal
DOI: 10.1016/S1631-073X(03)00120-1 Document Type: Article

Times cited : (6)

References (9)

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- Artzner, P.¹ Delbaen, F.² Eber, J.M.³ Heath, D.⁴

2
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- Structuration optimale de produits financiers en marché illiquide et trois excursions dans d'autres domaines des probabilités
- Thèse de doctorat, Université de Paris VI
- P. Barrieu, Structuration optimale de produits financiers en marché illiquide et trois excursions dans d'autres domaines des probabilités, Thèse de doctorat, Université de Paris VI, 2002.
- (2002)
- Barrieu, P.¹

3
- 0003652729
- Rational hedging and valuation with utility-based preferences
- Thèse de doctorat, Université de Berlin
- D. Becherer, Rational hedging and valuation with utility-based preferences, Thèse de doctorat, Université de Berlin, 2001.
- (2001)
- Becherer, D.¹

4
- 4243722414
- Rational hedging and valuation of integrated risks under constant absolute risk aversion
- Preprint, Imperial College London
- D. Becherer, Rational hedging and valuation of integrated risks under constant absolute risk aversion, Preprint, Imperial College London, 2002.
- (2002)
- Becherer, D.¹

5
- 0036002688
- On the existence of minimax martingale measures
- F. Bellini, M. Frittelli, On the existence of minimax martingale measures, Math. Finance 12 (1) (2002) 1-21.
- (2002) Math. Finance , vol.12 , Issue.1 , pp. 1-21
- Bellini, F.¹ Frittelli, M.²

6
- 0036005416
- Exponential hedging and entropic penalities
- F. Delbaen, P. Grandits, T. Rheinländer, D. Samperi, M. Schweizer, C. Stricker, Exponential hedging and entropic penalities, Math. Finance 12 (2) (2002) 99-123.
- (2002) Math. Finance , vol.12 , Issue.2 , pp. 99-123
- Delbaen, F.¹ Grandits, P.² Rheinländer, T.³ Samperi, D.⁴ Schweizer, M.⁵ Stricker, C.⁶

7
- 0040807565
- Pricing via utility maximization and entropy
- N. El Karoui, R. Rouge, Pricing via utility maximization and entropy, Math. Finance 10 (2) (2000) 259-276.
- (2000) Math. Finance , vol.10 , Issue.2 , pp. 259-276
- El Karoui, N.¹ Rouge, R.²

8
- 0038551367
- Convex measures of risk and trading constraints
- H. Föllmer, A. Schied, Convex measures of risk and trading constraints, Finance and Stochastics 6 (4) (2002) 429-447.
- (2002) Finance and Stochastics , vol.6 , Issue.4 , pp. 429-447
- Föllmer, H.¹ Schied, A.²

9
- 21244495350
- Stochastic Finance: An Introduction in Discrete Time
- H. Föllmer, A. Schied, Stochastic Finance: An Introduction in Discrete Time, in: De Gruyter Stud. Math., 2002.
- (2002) de Gruyter Stud. Math.
- Föllmer, H.¹ Schied, A.²

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