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~subject:"Mathematische Optimierung"
~isPartOf:"Finance and stochastics"
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Mathematische Optimierung
Martingal
92
Martingale
92
Theorie
59
Theory
59
Option pricing theory
32
Optionspreistheorie
32
Portfolio selection
28
Portfolio-Management
28
Stochastic process
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Mathematical programming
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Incomplete market
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Unvollkommener Markt
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Optionsgeschäft
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Derivat
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Hobson, David G.
2
Obłój, Jan
2
Beiglböck, Mathias
1
Bender, Christian
1
Campi, Luciano
1
Cherny, Vladimir
1
Denis, Emmanuel
1
Doldi, Alessandro
1
Frittelli, Marco
1
Guyon, Julien
1
Henry-Labordère, Pierre
1
Hou, Zhaoxu
1
Kabanov, Jurij M.
1
Klimmek, Martin
1
Laachir, Ismail
1
Mania, Michael
1
Martini, Claude
1
Niethammer, Christina R.
1
Norgilas, Dominykas
1
Pammer, Gudmund
1
Santacroce, Marina
1
Schachermayer, Walter
1
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Finance and stochastics
Research paper series / Swiss Finance Institute
6
Swiss Finance Institute Research Paper
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
International journal of theoretical and applied finance
3
Annals of finance
2
European journal of operational research : EJOR
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics and financial economics
2
Mathematics of operations research
2
Advances in mathematical economics
1
Applied mathematical finance
1
Applied optimization
1
Bank of Finland research discussion papers
1
Journal of mathematical finance
1
Journal of risk
1
Mathematical methods of operations research
1
Operations research
1
Operations research forum
1
Operations research letters
1
Production and operations management : the flagship research journal of the Production and Operations Management Society
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Scandinavian actuarial journal
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The journal of computational finance
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1
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro
;
Frittelli, Marco
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 255-304
Persistent link: https://www.econbiz.de/10014253636
Saved in:
2
From Bachelier to Dupire via optimal transport
Beiglböck, Mathias
;
Pammer, Gudmund
;
Schachermayer, Walter
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
Saved in:
3
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Saved in:
4
Robust bounds for the American put
Hobson, David G.
;
Norgilas, Dominykas
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
Saved in:
5
Robust pricing-hedging dualities in continuous time
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
6
Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano
;
Laachir, Ismail
;
Martini, Claude
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
Saved in:
7
An explicit martingale version of the one-dimensional Brenier theorem
Henry-Labordère, Pierre
;
Touzi, Nizar
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 635-668
Persistent link: https://www.econbiz.de/10011531053
Saved in:
8
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
Saved in:
9
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir
;
Obłój, Jan
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
Saved in:
10
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
Saved in:
11
Exponential utility maximization under partial information
Mania, Michael
;
Santacroce, Marina
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 419-448
Persistent link: https://www.econbiz.de/10010216491
Saved in:
12
On q-optimal martingale measures in exponential Lévy models
Bender, Christian
;
Niethammer, Christina R.
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
Saved in:
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