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~person:"Kohlmann, Michael"
~person:"Mataramvura, Sure"
~person:"Sun, Zhongyang"
~subject:"Option pricing theory"
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Option pricing theory
Stochastic process
10
Stochastischer Prozess
10
Control theory
7
Kontrolltheorie
7
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7
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7
backward stochastic differential equation
7
Optionspreistheorie
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Asset-liability management
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Compensated Poisson Jump
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Feynman-Kac formula
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Stochastic Differential Equation
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affine diffusion
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algebraic transformation
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backward stochastic Riccati equation
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efficient strategy and efficient frontier
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linear-quadratic control
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Kohlmann, Michael
Mataramvura, Sure
Sun, Zhongyang
Hess, Markus
7
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4
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3
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3
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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Mathematical methods of operations research
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Scandinavian actuarial journal
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Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
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2
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
3
Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah
;
Ackora-Prah, Joseph
; …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
Saved in:
4
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475182
Saved in:
5
Recent advances in backward stochastic Riccati equations and their applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Persistent link: https://www.econbiz.de/10014378819
Saved in:
6
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10014378821
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