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Sách, tạp chí |
Tiêu đề: |
Theory of financial risk and derivative pricing: from statistical physics to risk management |
Tác giả: |
Jean-Philippe Bouchaud, Marc Potters |
Nhà XB: |
Cambridge University Press |
Năm: |
2003 |
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Indifference pricing: theory and applications |
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Ren´ e Carmona |
Nhà XB: |
Princeton University Press |
Năm: |
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Tiêu đề: |
Cds with counterparty risk in a markov chain copula model with joint defaults |
Tác giả: |
Stéphene Crépey, Monique Jeanblanc, Behnaz Zargari |
Nhà XB: |
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Dynamics of competition between collectivity and noise in the stock market |
Tác giả: |
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Physica A: Statistical Mechanics and its Applications |
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Tiêu đề: |
Quantifying the dynamics of financial correlations |
Tác giả: |
S Dro˙zd˙z, J Kwapie´ n, F Gr¨ ummer, F Ruf, J Speth |
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Physica A: Statistical Mechanics and its Applications |
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2001 |
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What happens after a default: the conditional density approach |
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Nicole El Karoui, Monique Jeanblanc, Ying Jiao |
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Stochastic processes and their applications |
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Backward stochastic differential equations in finance |
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Nicole El Karoui, Shige Peng, Marie Claire Quenez |
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Mathematical finance |
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The minimal entropy martingale measures for geometric l´ evy processes |
Tác giả: |
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Finance and Stochastics |
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A regression-based monte carlo method to solve backward stochastic differential equations |
Tác giả: |
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The Annals of Applied Probability |
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Detrended cross-correlation analysis for non-stationary time series with periodic trends |
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D Horvatic, H Eugene Stanley, B Podobnik |
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Optimal investment under multiple defaults risk: a bsde-decomposition approach |
Tác giả: |
Ying Jiao, Idris Kharroubi, Huyen Pham |
Nhà XB: |
The Annals of Applied Probability |
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Optimal investment with counterparty risk: a default- density model approach |
Tác giả: |
Ying Jiao, Huyˆ en Pham |
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Finance and Stochastics |
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Asymmetric matrices in an analysis of financial correlations |
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Nhà XB: |
preprint |
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Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices |
Tác giả: |
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Nhà XB: |
Physica A: Statistical Mechanics and its Applications |
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Dynamic exponential utility indifference valuation |
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Nhà XB: |
The Annals of Applied Probability |
Năm: |
2005 |
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Tiêu đề: |
Introduction to econophysics: correlations and complexity in finance |
Tác giả: |
Rosario N Mantegna, H Eugene Stanley |
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2000 |
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Tiêu đề: |
Distribution of eigenvalues for some sets of random matrices |
Tác giả: |
Vladimir Alexandrovich Marchenko, Leonid Andreevich Pastur |
Nhà XB: |
Matematicheskii Sbornik |
Năm: |
1967 |
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