Probability, Uncertainty and Quantitative Risk is now archived and no
longer receiving submissions with this publisher. All articles published in the journal during its time with Springer will remain fully searchable through our websites.
Volume 2, issue 1, December 2017
14 articles in this issue
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Good deal hedging and valuation under combined uncertainty about drift and volatility
Authors
- Dirk Becherer
- Klebert Kentia
- Content type: Research
- Open Access
- Published: 29 December 2017
- Article: 13
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Portfolio optimization of credit swap under funding costs
Authors
- Lijun Bo
- Content type: Research
- Open Access
- Published: 04 December 2017
- Article: 12
This is part of 1 collection: -
Characterization of optimal feedback for stochastic linear quadratic control problems
Authors
- Qi Lü
- Tianxiao Wang
- Xu Zhang
- Content type: Research
- Open Access
- Published: 27 September 2017
- Article: 11
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On the compensator of the default process in an information-based model
Authors
- Matteo Ludovico Bedini
- Rainer Buckdahn
- Hans-Jürgen Engelbert
- Content type: Research
- Open Access
- Published: 11 September 2017
- Article: 10
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The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
Authors
- Stefan Weber
- Kerstin Weske
- Content type: Research
- Open Access
- Published: 26 June 2017
- Article: 9
This is part of 1 collection: -
Measure distorted arrival rate risks and their rewards
Authors
- Dilip B. Madan
- Content type: Research
- Open Access
- Published: 26 June 2017
- Article: 8
This is part of 1 collection: -
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
Authors
- Claudio Albanese
- Simone Caenazzo
- Stéphane Crépey
- Content type: Research
- Open Access
- Published: 26 June 2017
- Article: 7
This is part of 1 collection: -
A brief history of quantitative finance
Authors
- Mauro Cesa
- Content type: Commentary
- Open Access
- Published: 05 June 2017
- Article: 6
This is part of 1 collection: -
Backward stochastic differential equations with Young drift
Authors
- Joscha Diehl
- Jianfeng Zhang
- Content type: Research
- Open Access
- Published: 05 June 2017
- Article: 5
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Convergence to a self-normalized G-Brownian motion
Authors
- Zhengyan Lin
- Li-Xin Zhang
- Content type: Research
- Open Access
- Published: 01 March 2017
- Article: 4
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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Authors
- Tomasz R. Bielecki
- Igor Cialenco
- Marcin Pitera
- Content type: Research
- Open Access
- Published: 01 March 2017
- Article: 3
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Implied fractional hazard rates and default risk distributions
Authors
- Charles S. Tapiero
- Pierre Vallois
- Content type: Research
- Open Access
- Published: 01 March 2017
- Article: 2
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Stochastic global maximum principle for optimization with recursive utilities
Authors
- Mingshang Hu
- Content type: Research
- Open Access
- Published: 01 March 2017
- Article: 1