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~isPartOf:"Mathematical methods of operations research"
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Mathematical methods of operations research
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Finance and stochastics
92
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
International journal of theoretical and applied finance
41
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Discussion papers of interdisciplinary research project 373
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Econometric reviews
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1
Sure profits via flash strategies and the impossibility of predictable jumps
Fontana, Claudio
;
Pelger, Markus
;
Platen, Eckhard
-
2017
Persistent link: https://www.econbiz.de/10011778192
Saved in:
2
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
3
Martingale optimal transport in the discrete case via simple linear programming techniques
Bäuerle, Nicole
;
Schmithals, Daniel Matthias
- In:
Mathematical methods of operations research
90
(
2019
)
3
,
pp. 453-476
Persistent link: https://www.econbiz.de/10012153873
Saved in:
4
Management of a hydropower system via convex duality
Dahl, Kristina Rognlien
- In:
Mathematical methods of operations research
89
(
2019
)
1
,
pp. 43-71
Persistent link: https://www.econbiz.de/10011991715
Saved in:
5
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia
;
Abergel, Frédérik
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
Saved in:
6
Local risk-minimization under the benchmark approach
Biagini, Francesca
;
Cretarola, Alessandra
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009675074
Saved in:
7
Utility indifference pricing and hedging for structured contracts in energy markets
Callegaro, Giorgia
;
Campi, Luciano
;
Giusto, Valeria
; …
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 265-303
Persistent link: https://www.econbiz.de/10011714437
Saved in:
8
Modern view on Merton’s jump-diffusion model
Cheung, Gerald H. L.
;
Chiarella, Carl
-
2011
Persistent link: https://www.econbiz.de/10009563108
Saved in:
9
Performance analysis of a reflected fluid production/inventory model
Barron, Yonit
- In:
Mathematical methods of operations research
83
(
2016
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011446605
Saved in:
10
M 6 : on minimal market models and minimal martingale measures ; [this paper is dedicated to Eckhard Platen on the occasion of his 60th birthday]
Hulley, Hardy
;
Schweizer, Martin
-
2010
Persistent link: https://www.econbiz.de/10008663095
Saved in:
11
The economic plausibility of strict local martingales in financial modelling
Hulley, Hardy
-
2010
Persistent link: https://www.econbiz.de/10008663096
Saved in:
12
A visual criterion for identifying Itô diffusions as martingalesor strict local martingales
Hulley, Hardy
;
Platen, Eckhard
-
2009
Persistent link: https://www.econbiz.de/10008662355
Saved in:
13
On financial markets where only buy-and-hold trading is possible
Kardaras, Constantinos
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003856783
Saved in:
14
Hedge portfolios in markets with price discontinuities
Cheang, Gerald H. L.
;
Chiarella, Carl
-
2008
Persistent link: https://www.econbiz.de/10003856801
Saved in:
15
Quadratic hedging of basis risk
Hulley, Hardy
;
McWalter, Thomas A.
-
2008
Persistent link: https://www.econbiz.de/10003857124
Saved in:
16
On honest times in financial modeling
Nikeghbali, Ashkan
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857128
Saved in:
17
Minimizing the expected market time to reach a certain wealth level
Kardaras, Constantinos
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857129
Saved in:
18
Exchange options under jump-diffusion dynamics
Cheang, Gerald H. L.
;
Chiarella, Carl
-
2008
Persistent link: https://www.econbiz.de/10003857157
Saved in:
19
A visual classification of local martingales
Hulley, Hardy
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857178
Saved in:
20
Multiplicative approximation of wealth processes involving no-short-sale strategies
Kardaras, Constantinos
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857179
Saved in:
21
Viability of markets with an infinite number of assets
Kardaras, Constantinos
-
2008
Persistent link: https://www.econbiz.de/10003857180
Saved in:
22
Martingales and first passage times of AR(1) sequences
Novikov, Alexander
;
Kordzakhia, Nino
-
2007
Persistent link: https://www.econbiz.de/10003856732
Saved in:
23
Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers
Temme, Johannes P.
- In:
Mathematical methods of operations research
76
(
2012
)
1
,
pp. 21-41
Persistent link: https://www.econbiz.de/10009571220
Saved in:
24
On tail distributions of supremum and quadratic variation of local martingales
Liptser, R.
;
Novikov, Alexander
-
2004
Persistent link: https://www.econbiz.de/10002251058
Saved in:
25
First passage time of Filtered Poisson Process with exponential shape function
Novikov, Alexander
;
Melchers, R. E.
;
Shinjikashvili, E.
; …
-
2003
Persistent link: https://www.econbiz.de/10002250933
Saved in:
26
Optimal investment with deferred capital gains taxes : a simple martingale method approach
Seifried, Frank Thomas
- In:
Mathematical methods of operations research
71
(
2010
)
1
,
pp. 181-199
Persistent link: https://www.econbiz.de/10003958350
Saved in:
27
The relative entropy in CGMY processes and its applications to finance
Kim, Young Shin
;
Lee, Jeong Hyun
- In:
Mathematical methods of operations research
66
(
2007
)
2
,
pp. 327-338
Persistent link: https://www.econbiz.de/10003564151
Saved in:
28
Ruin problems for a discrete time risk model with random interest rate
Yang, Hailiang
;
Zhang, Lihong
- In:
Mathematical methods of operations research
63
(
2006
)
2
,
pp. 287-299
Persistent link: https://www.econbiz.de/10003334096
Saved in:
29
Optimal portfolio strategies benchmarking the stock market
Gabih, Abdelali
;
Grecksch, Wilfried
;
Richter, Matthias
; …
- In:
Mathematical methods of operations research
64
(
2006
)
2
,
pp. 211-225
Persistent link: https://www.econbiz.de/10003380210
Saved in:
30
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
Saved in:
31
Price systems constructed by optimal dynamic portfolios
Schäl, Manfred
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 375-397
Persistent link: https://www.econbiz.de/10001519650
Saved in:
32
On value preserving and growth optimal portfolios
Korn, Ralf
;
Schäl, Manfred
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 189-218
Persistent link: https://www.econbiz.de/10001428084
Saved in:
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