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~person:"Kohlmann, Michael"
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Search: subject_exact:"Stochastischer Prozess"
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Stochastischer Prozess
30
Theorie
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Kontrolltheorie
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Theory
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Hedging
18
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Optionspreistheorie
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Backward stochastic differential equation
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Kohlmann, Michael
McAleer, Michael
97
Phillips, Peter C. B.
75
Koopman, Siem Jan
70
Chiarella, Carl
57
Platen, Eckhard
52
Sethi, Suresh
49
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
44
Asai, Manabu
42
Post, Thierry
41
Takahashi, Akihiko
41
Yu, Jun
39
Madan, Dilip B.
38
Benth, Fred Espen
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Gao, Jiti
35
Chan, Joshua
34
Todorov, Viktor
34
Escobar, Marcos
33
Linton, Oliver
33
Elliott, Robert J.
31
Hainaut, Donatien
30
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
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28
Gendreau, Michel
28
Račev, Svetlozar T.
28
Siu, Tak Kuen
28
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27
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27
Wong, Wing Keung
27
Batabyal, Amitrajeet A.
26
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26
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CoFE Discussion Paper
9
CoFE discussion papers
9
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
9
Applied mathematical finance
1
International journal of theoretical and applied finance
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ECONIS (ZBW)
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1
Mean variance hedging in a general jump model
Kohlmann, Michael
;
Xiong, Dewen
;
Ye, Zhongxing
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
Saved in:
2
Mean variance hedging in a general jump market
Xiong, Dewen
;
Kohlmann, Michael
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
Saved in:
3
Optimal Superhedging under Non-Convex Constraints - A BSDE Approach
Bender, Christian
-
2010
We apply theoretical results by Peng on supersolutions for Backward SDEs (BSDEs) to the problem of finding optimal superhedging strategies in a generalized Black-Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be non-convex,...
Persistent link: https://www.econbiz.de/10013150046
Saved in:
4
BSDES With Stochastic Lipschitz Condition
Bender, Christian
;
Kohlmann, Michael
-
2000
We prove an existence and uniqueness theorem for backward stochastic differential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.
Persistent link: https://www.econbiz.de/10010324028
Saved in:
5
Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some...
Persistent link: https://www.econbiz.de/10010324034
Saved in:
6
Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions
Kohlmann, Michael
;
Shanjian, Tang
-
2000
The optimal control problem is considered for linear stochastic systems with a singular cost. A new uniformly convex structure is formulated, and its consequences on the existence and uniqueness of optimal controls and on the uniform convexity of the value function are proved. In particular, the...
Persistent link: https://www.econbiz.de/10010324035
Saved in:
7
Recent Advances in Backward Stochastics Riccati Equations and Their Applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent...
Persistent link: https://www.econbiz.de/10010324042
Saved in:
8
Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging
Kohlmann, Michael
;
Tang, Shanjian
-
2000
We obtain the global existence and uniqueness result for a one-dimensional back- ward stochastic Riccati equation, whose generator contains a quadratic term of L (the second unknown component). This solves the one-dimensional case of Bismut- Peng's problem which was initially proposed by Bismut...
Persistent link: https://www.econbiz.de/10010324079
Saved in:
9
Neyman-Pearson Hedging and Dynamic Measures of Risk
Kohlmann, Michael
-
2000
In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...
Persistent link: https://www.econbiz.de/10010324097
Saved in:
10
BSDES with stochastic Lipschitz condition
Bender, Christian
;
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10011543449
Saved in:
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