Search Results - person:"Daniel Hernández–Hernández"

Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model

Hernández-Hernández, Daniel; Ricalde-Guerrero, Joshué H. - In: Dynamic games and applications : DGA 12 (2022) 4, pp. 1293-1311

Persistent link: https://www.econbiz.de/10013433667

Un Modelo De Creación De Mercado Con Trading De Alta Frecuencia (A Model of Market Creation with High Frequency Trading)

Hernandez-Hernandez, Daniel - 2017

Spanish Abstract: En este artículo se hace una presentación del trading de alta frecuencia, junto con sus características y estrategias. Posteriormente, bajo el contexto de transacciones de alta frecuencia (HFT), se desarrolla un modelo de creación de mercado, conducido por un agente cuyas...

Persistent link: https://www.econbiz.de/10012956058

A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function

Cavazos-Cadena, Rolando; Hernández Hernández, Daniel - In: Mathematics of operations research 41 (2016) 1, pp. 224-235

Persistent link: https://www.econbiz.de/10011448358

Periodic strategies in optimal execution with multiplicative price impact

Hernández‐Hernández, Daniel; Moreno‐Franco, Harold A. - In: Mathematical Finance 29 (2019) 4, pp. 1039-1065

Persistent link: https://www.econbiz.de/10012095176

Robust maximization of consumption with logarithmic utility

Hernández-Hernández, Daniel (contributor); … - 2007

Daniel Hernández-Hernández* Alexander Schied** * Faculty of Centro de Investigación en Matemáticas, Guanajuato, Mexico … Daniel Hernández-Hernández and Alexander Schied, May 2007. …

Persistent link: https://www.econbiz.de/10003633826

Robust utility maximization in a stochastic factor model

Hernández-Hernández, Daniel (contributor); … - 2005

Daniel Hernández–Hernández* Alexander Schied** * Centro de Investigación en Matemáticas, Guanajuato, México ** Institute … Reutterer, January 2006. 007 "Robust utility maximization in a stochastic factor model" by Daniel Hernández–Hernández and …

Persistent link: https://www.econbiz.de/10003324220

Optimization, control, and applications of stochastic systems : in honor of Onesimo Hernandez-Lerma

Hernández Hernández, Daniel (contributor) - 2012

Persistent link: https://www.econbiz.de/10009623823

Discounted approximations for risk-sensitive average criteria in markov decision chains with finite state space

Cavazos-Cadena, Rolando; Hernández Hernández, Daniel - In: Mathematics of operations research 36 (2011) 1, pp. 133-146

Persistent link: https://www.econbiz.de/10009007257

Efficient hedging of European options with robust convex loss functionals : a dual-representation formula

Hernández-Hernández, Daniel; Treviño Aguilar, Erick - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 99-115

Persistent link: https://www.econbiz.de/10008935700

Games of singular control and stopping driven by spectrally one-sided Lévy processes

Hernández-Hernández, Daniel; Yamazaki, Kazutoshi - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 1-38

We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and terminal costs while the stopper maximizes them. Using...

Persistent link: https://www.econbiz.de/10011077899