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Mathematics and financial economics
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ECONIS (ZBW)
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1
Robust utility maximization with nonlinear continuous semimartingales
Criens, David
;
Niemann, Lars
- In:
Mathematics and financial economics
17
(
2023
)
3
,
pp. 499-536
Persistent link: https://www.econbiz.de/10014381096
Saved in:
2
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Junca, Mauricio
;
Serrano, Rafael
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 775-809
Persistent link: https://www.econbiz.de/10012616858
Saved in:
3
No arbitrage in continuous financial markets
Criens, David
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 461-506
Persistent link: https://www.econbiz.de/10012240304
Saved in:
4
No-arbitrage commodity option pricing with market manipulation
Aïd, René
;
Callegaro, Giorgia
;
Campi, Luciano
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 577-603
Persistent link: https://www.econbiz.de/10012240320
Saved in:
5
Properly discounted asset prices are semimartingales
Bálint, Dániel
;
Schweizer, Martin
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 661-674
Persistent link: https://www.econbiz.de/10012321854
Saved in:
6
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen
;
Piccirilli, Marco
;
Vargiolu, Tiziano
- In:
Mathematics and financial economics
13
(
2019
)
4
,
pp. 543-577
Persistent link: https://www.econbiz.de/10012055877
Saved in:
7
Martingale problem under nonlinear expectations
Guo, Xin
;
Pan, Chen
;
Peng, Shige
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 135-164
Persistent link: https://www.econbiz.de/10011963738
Saved in:
8
Arbitrage and utility maximization in market models with an insider
Chau, Huy N.
;
Runggaldier, Wolfgang J.
;
Tankov, Peter
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
Saved in:
9
Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution
Mukupa, George M.
;
Offen, Elias R.
- In:
Journal of mathematical finance
8
(
2018
)
3
,
pp. 599-612
Persistent link: https://www.econbiz.de/10011968727
Saved in:
10
Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun
;
Yi, Lan
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
Saved in:
11
The lifetime of a financial bubble
Obayashi, Yoshiki
;
Protter, Philip E.
;
Yang, Shihao
- In:
Mathematics and financial economics
11
(
2017
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10011900514
Saved in:
12
Arbitrage without borrowing or short selling?
Lukkarinen, Jani
;
Pakkanen, Mikko S.
- In:
Mathematics and financial economics
11
(
2017
)
3
,
pp. 263-274
Persistent link: https://www.econbiz.de/10011900556
Saved in:
13
Measure of investment optimal strategy
Eghwerido, J. T.
;
Ekuma-Okereke, E.
;
Efe-Eyefia, E.
; …
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 269-274
Persistent link: https://www.econbiz.de/10011544457
Saved in:
14
Risk-minimization for life insurance liabilities with basis risk
Biagini, Francesca
;
Rheinländer, Thorsten
;
Schreiber, Irene
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 151-178
Persistent link: https://www.econbiz.de/10011485900
Saved in:
15
About stochastic calculus in presence of jumps at predictable stopping times
Galtchouk, Leonid
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 443-456
Persistent link: https://www.econbiz.de/10011583560
Saved in:
16
Optimal portfolio strategy with discounted stochastic cash inflows when the stock price is a semimartingale
Baraedi, Onthusitse
;
Offen, Elias
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 660-684
Persistent link: https://www.econbiz.de/10011656991
Saved in:
17
Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.
;
Lungu, E. M.
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
Saved in:
18
Optimal acquisition of a partially hedgeable house
Cetin, Coskun
;
Zapatero, Fernando
- In:
Mathematics and financial economics
9
(
2015
)
2
,
pp. 123-147
Persistent link: https://www.econbiz.de/10011349449
Saved in:
19
On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
Saved in:
20
Equivalent martingale measure in Asian geometric average option pricing
Zhu, Yonggang
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 304-308
Persistent link: https://www.econbiz.de/10011312412
Saved in:
21
Asymptotic power utility-based pricing and hedging
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Vierthauer, Richard
- In:
Mathematics and financial economics
8
(
2014
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
Saved in:
22
Local risk-minimization under the benchmark approach
Biagini, Francesca
;
Cretarola, Alessandra
;
Platen, Eckhard
- In:
Mathematics and financial economics
8
(
2014
)
2
,
pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
Saved in:
23
On local times : application to pricing using bid-ask
Kettler, Paul C.
;
Menoukeu-Pamen, Olivier
;
Proske, Frank
- In:
Journal of mathematical finance
4
(
2014
)
2
,
pp. 84-94
Persistent link: https://www.econbiz.de/10010380910
Saved in:
24
Contingent claims in incomplete markets : a case study
Mataramvura, Sure
- In:
Journal of mathematical finance
3
(
2013
)
4
,
pp. 426-430
Persistent link: https://www.econbiz.de/10010239520
Saved in:
25
An optimal life insurance policy in the continuous-time investment-consumption problem
Iwaki, Hideki
;
Osaki, Yusuke
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 291-306
Persistent link: https://www.econbiz.de/10010239565
Saved in:
26
Semimartingale property and its connections to arbitrage
Samura, Sallieu Kabay
;
Mao, Junjun
;
Yao, Dengbao
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 237-241
Persistent link: https://www.econbiz.de/10010239605
Saved in:
27
Optimal investment and proportional reinsurance with risk constraint
Liu, Jingzhen
;
Yiu, Ka Fai Cedric
;
Loxton, Ryan C.
; …
- In:
Journal of mathematical finance
3
(
2013
)
4
,
pp. 437-447
Persistent link: https://www.econbiz.de/10010240806
Saved in:
28
The opportunity process for optimal consumption and investment with power utility
Nutz, Marcel
- In:
Mathematics and financial economics
3
(
2010
)
3/4
,
pp. 139-159
Persistent link: https://www.econbiz.de/10008659799
Saved in:
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