Voir la notice de l'article provenant de la source Math-Net.Ru
@article{THSP_2008_14_3_a2, author = {Mykhaylo Bratyk and Yuliya Mishura}, title = {The generalization of the quantile}, journal = {Teori\^a slu\v{c}ajnyh processov}, pages = {27--38}, publisher = {mathdoc}, volume = {14}, number = {3}, year = {2008}, language = {en}, url = {http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/} }
Mykhaylo Bratyk; Yuliya Mishura. The generalization of the quantile. Teoriâ slučajnyh processov, Tome 14 (2008) no. 3, pp. 27-38. http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/
[1] Androshchuk T., Mishura Y., “Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics”, Stochastics: An International Journal of Probability and Stochastic Processes, 78:5 (2006), 281–300 | DOI | MR | Zbl
[2] Bratyk M., Mishura Y., “Quantile hedging with rediscounting on complete financial market”, Prykladna statystyka. Aktuarna i finansova matematyka, 2007, no. 2, 46–57
[3] Cheridito P., Regularizing fractional Brownian motion with a view towards stock price modeling, PhD thesis, Zurich, 2001 | MR
[4] Föllmer H., Leukert P., “Quantile hedging”, Finance Stochast, 3 (1999), 251–273 | DOI | MR | Zbl
[5] Hitsuda M., “Representation of Gaussian processes equivalent to Wiener process”, Osaka Journal of Mathematics, 5 (1968), 299–312 | MR | Zbl
[6] Krutchenko R. N., Melnikov A. V., “Quantile hedging for a jump-diffusion financial market model”, Trends in Mathematics, 2001, 215–229 | MR | Zbl