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~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Martingal"
~subject:"Option pricing theory"
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Martingal
Option pricing theory
Control theory
64
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64
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45
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37
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37
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13
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Bender, Christian
2
Dokučaev, Nikolaj G.
2
Evstigneev, Igor V.
1
Gombani, Andrea
1
Hernández, Camilo
1
Junca, Mauricio
1
Korn, Ralf
1
Li, Zhongfei
1
Moreno-Franco, Harold
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Runggaldier, Wolfgang J.
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Samperi, Dominick
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1
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Insurance / Mathematics & economics
Mathematical finance : an international journal of mathematics, statistics and financial theory
CoFE discussion papers
4
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
Risks : open access journal
4
Applied mathematical finance
3
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3
International journal of theoretical and applied finance
3
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Institute of Mathematical Economics Working Paper
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Journal of policy analysis and management : the journal of the Association for Public Policy Analysis and Management
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Journal of quantitative economics
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Market microstructure and liquidity
1
Mathematical methods of operations research
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P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
1
SFB 649 discussion paper
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Schriften aus der Fakultät Sozial- und Wirtschaftswissenschaften der Otto-Friedrich-Universität
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The journal of computational finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
Hernández, Camilo
;
Junca, Mauricio
;
Moreno-Franco, Harold
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 57-68
Persistent link: https://www.econbiz.de/10011825364
Saved in:
2
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
3
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
4
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
5
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
Saved in:
6
On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.
;
Schürger, Klaus
;
Taksar, Michael I.
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
Saved in:
7
Calibrating a diffusion pricing model with uncertain volatility: regularization and stability
Samperi, Dominick
- In:
Mathematical finance : an international journal of …
12
(
2002
)
1
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001686213
Saved in:
8
Value preserving strategies and a general framework for local approaches to optimal portfolios
Korn, Ralf
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 227-241
Persistent link: https://www.econbiz.de/10002177631
Saved in:
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