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Mathematical finance : an international journal of mathematics, statistics and financial theory
Mathematics and financial economics
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137
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122
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ECONIS (ZBW)
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1
Price impact equilibrium with transaction costs and TWAP trading
Noh, Eunjung
;
Weston, Kim
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 187-204
Persistent link: https://www.econbiz.de/10013167754
Saved in:
2
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
Rudloff, Birgit
;
Ulus, Firdevs
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 397-430
Persistent link: https://www.econbiz.de/10012500037
Saved in:
3
Continuity of utility maximization under weak convergence
Bayraktar, Erhan
;
Dolinsky, Yan
;
Guo, Jia
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 725-757
Persistent link: https://www.econbiz.de/10012321870
Saved in:
4
Existence of a Radner equilibrium in a model with transaction costs
Weston, Kim
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 517-539
Persistent link: https://www.econbiz.de/10011963878
Saved in:
5
Arbitrage and utility maximization in market models with an insider
Chau, Huy N.
;
Runggaldier, Wolfgang J.
;
Tankov, Peter
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
Saved in:
6
Pricing for large positions in contingent claims
Robertson, Scott
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 746-778
Persistent link: https://www.econbiz.de/10011764970
Saved in:
7
On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
Saved in:
8
Optimal investment with intermediate consumption and random endowment
Mostovyi, Oleksii
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 96-114
Persistent link: https://www.econbiz.de/10011739444
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9
Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren
;
Wan, Xiangwei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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10
Option spanning beyond Lp-models
Gao, N.
;
Xanthos, F.
- In:
Mathematics and financial economics
11
(
2017
)
3
,
pp. 383-391
Persistent link: https://www.econbiz.de/10011900573
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11
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
Jarrow, Robert A.
- In:
Mathematics and financial economics
11
(
2017
)
4
,
pp. 455-477
Persistent link: https://www.econbiz.de/10011900579
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12
Do arbitrage-free prices come from utility maximization?
Siorpaes, Pietro
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
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13
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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14
Optimal acquisition of a partially hedgeable house
Cetin, Coskun
;
Zapatero, Fernando
- In:
Mathematics and financial economics
9
(
2015
)
2
,
pp. 123-147
Persistent link: https://www.econbiz.de/10011349449
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15
Non-concave utility maximisation on the positive real axis in discrete time
Carassus, Laurence
;
Rásonyi, Miklós
;
Rodrigues, Andrea M.
- In:
Mathematics and financial economics
9
(
2015
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10011378104
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16
On optimal investment for a behavioral investor in multiperiod incomplete market models
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 115-153
Persistent link: https://www.econbiz.de/10011347239
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17
Convex risk measures for good deal bounds
Arai, Takuji
;
Fukasawa, Masaaki
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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18
The two fundamental theorems of asset pricing for a class of continuous-time financial markets
Lyasoff, Andrew
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 485-504
Persistent link: https://www.econbiz.de/10010486019
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19
Event risk, contingent claims and the temporal resolution of uncertainty
Collin-Dufresne, Pierre
;
Hugonnier, Julien
- In:
Mathematics and financial economics
8
(
2014
)
1
,
pp. 29-69
Persistent link: https://www.econbiz.de/10010235418
Saved in:
20
Asymptotic power utility-based pricing and hedging
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Vierthauer, Richard
- In:
Mathematics and financial economics
8
(
2014
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
Saved in:
21
Indifference pricing for CRRA utilities
Malamud, Semyon
;
Trubowitz, Eugene
;
Wüthrich, Mario V.
- In:
Mathematics and financial economics
7
(
2013
)
3
,
pp. 247-280
Persistent link: https://www.econbiz.de/10009754856
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22
Financial market equilibria with heterogeneous agents : CAPM and market segmentation
Del Vigna, Matteo
- In:
Mathematics and financial economics
7
(
2013
)
4
,
pp. 405-429
Persistent link: https://www.econbiz.de/10009790477
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23
Stability of the utility maximization problem with random endowment in incomplete markets
Kardaras, Constantinos
;
Ž̌̌̌̌̌̌̌itković, Gordan
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 313-333
Persistent link: https://www.econbiz.de/10008935662
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24
Portfolio choice via quantiles
He, Xue Dong
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 203-231
Persistent link: https://www.econbiz.de/10008935692
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25
On incompleteness of bond markets with infinite number of random factors
Barski, Michał
;
Jakubowski, Jacek
;
Zabczyk, Jerzy
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 541-556
Persistent link: https://www.econbiz.de/10009156015
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26
Relaxed utility maximization in complete markets
Biagini, Sara
;
Guasoni, Paolo
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 703-722
Persistent link: https://www.econbiz.de/10009311613
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27
Additive habit formation : consumption in incomplete markets with random endowments
Muraviev, Roman
- In:
Mathematics and financial economics
5
(
2011
)
2
,
pp. 67-99
Persistent link: https://www.econbiz.de/10009315541
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28
Indifference price with general seminartingales
Biagini, Sara
;
Frittelli, Marco
;
Grasselli, Matheus
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 423-446
Persistent link: https://www.econbiz.de/10009155204
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29
On agent's agreement and partial-equilibrium pricing in incomplete markets
Anthropelos, Michail
;
Žitkovi´c, Gordan
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 411-446
Persistent link: https://www.econbiz.de/10008667062
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30
Asset price bubbles in incomplete markets
Jarrow, Robert A.
;
Protter, Philip E.
;
Shimbo, Kazuhiro
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 145-185
Persistent link: https://www.econbiz.de/10003955702
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31
Mutual fund portfolio choice in the presence of dynamic flows
Hugonnier, Julien
;
Kaniel, Ron
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 187-227
Persistent link: https://www.econbiz.de/10003955732
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32
On securitization, market completion and equilibrium risk transfer
Horst, Ulrich
;
Pirvu, Traian A.
;
Dos Reis, Gonc̜alo
- In:
Mathematics and financial economics
2
(
2010
)
4
,
pp. 211-252
Persistent link: https://www.econbiz.de/10003949928
Saved in:
33
Hedging by sequential regressions revisited
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 591-617
Persistent link: https://www.econbiz.de/10003937143
Saved in:
34
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
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35
Optimal investment with an unbounded random endowment and utility-based pricing
Owen, Mark P.
;
Žitković, Gordan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 129-159
Persistent link: https://www.econbiz.de/10003818431
Saved in:
36
Recursiveness of indifference prices and translation-invariant preferences
Cheridito, Patrick
;
Kupper, Michael
- In:
Mathematics and financial economics
2
(
2009
)
3
,
pp. 173-188
Persistent link: https://www.econbiz.de/10003891233
Saved in:
37
Risk minimization and optimal derivative design in a principal agent game
Horst, Ulrich
;
Moreno-Bromberg, Santiago
- In:
Mathematics and financial economics
2
(
2008
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10003880875
Saved in:
38
Asset pricing with no exogenous probability measure
Cassese, Gianluca
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 23-54
Persistent link: https://www.econbiz.de/10003643459
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39
Optimal timing for an indivisible asset sale
Evans, Jonathan
;
Henderson, Vicky
;
Hobson, David G.
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 545-567
Persistent link: https://www.econbiz.de/10003769012
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40
Optimal portfolios with lower partial moment constraints and LPM-risk-optimal martingale measures
Leitner, Johannes
- In:
Mathematical finance : an international journal of …
18
(
2008
)
2
,
pp. 317-331
Persistent link: https://www.econbiz.de/10003683293
Saved in:
41
The equity risk premium and the riskfree rate in an economy with borrowing constraints
Kogan, Leonid
;
Makarov, Igor
;
Uppal, Raman
- In:
Mathematics and financial economics
1
(
2007
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003576938
Saved in:
42
Dynamic indifference valuation via convex risk measures
Klöppel, Susanne
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 599-627
Persistent link: https://www.econbiz.de/10003626635
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43
Optimal continuous-time hedging with Leptokurtic returns
Černý, Aleš
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 175-203
Persistent link: https://www.econbiz.de/10003543119
Saved in:
44
Duality in optimal investment and consumption problems with market fricitions
Klein, Irene
;
Rogers, Leonard C. G.
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 225-247
Persistent link: https://www.econbiz.de/10003543127
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45
On the timing option in a future contract
Biagini, Francesca
;
Björk, Tomas
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 267-283
Persistent link: https://www.econbiz.de/10003543130
Saved in:
46
Valuing the option to invest in an incomplete market
Henderson, Vicky
- In:
Mathematics and financial economics
1
(
2007
)
2
,
pp. 103-128
Persistent link: https://www.econbiz.de/10003591558
Saved in:
47
The structure of optimal consumption streams in general incomplete markets
Malamud, Semyon
;
Trubowitz, Eugene
- In:
Mathematics and financial economics
1
(
2007
)
2
,
pp. 129-161
Persistent link: https://www.econbiz.de/10003591561
Saved in:
48
Markowitz's portfolio optimization in an incomplete market
Xia, Jianming
;
Yan, Jia-an
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 203-216
Persistent link: https://www.econbiz.de/10003336872
Saved in:
49
Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama
- In:
Mathematical finance : an international journal of …
16
(
2006
)
3
,
pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
Saved in:
50
On utility-based pricing of contingent claims in incomplete markets
Hugonnier, Julien
;
Kramkov, Dmitry
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 203-212
Persistent link: https://www.econbiz.de/10002725392
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