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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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27
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Journal of mathematical economics
85
Working paper / National Bureau of Economic Research, Inc.
79
Economic theory : official journal of the Society for the Advancement of Economic Theory
76
NBER working paper series
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69
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International journal of theoretical and applied finance
25
Journal of international economics
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International economic review
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Annals of finance
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Journal of economics
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Journal of the European Economic Association
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The American economic review
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Working papers / Brown University, Department of Economics
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Journal of banking & finance
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Journal of macroeconomics
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Journal of political economy
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Discussion paper / Center for Mathematical Studies in Economics and Management Science, Northwestern University
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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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9
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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10
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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11
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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12
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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13
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
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14
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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15
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
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16
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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17
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
Saved in:
18
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:
19
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
Saved in:
20
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:
21
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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22
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:
23
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:
24
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:
25
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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26
Evaluating hedging errors : an asymptotic approach
Hayashi, Takaki
;
Mykland, Per A.
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 309-343
Persistent link: https://www.econbiz.de/10002725490
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27
Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky
- In:
Mathematical finance : an international journal of …
15
(
2005
)
1
,
pp. 49-59
Persistent link: https://www.econbiz.de/10002582917
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28
Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints
Detemple, Jérôme B.
;
Rindisbacher, Marcel
- In:
Mathematical finance : an international journal of …
15
(
2005
)
4
,
pp. 539-568
Persistent link: https://www.econbiz.de/10003121127
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29
Coherent acceptability measures in multiperiod models
Roorda, Berend
;
Schumacher, Johannes M.
;
Engwerda, …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
4
,
pp. 589-612
Persistent link: https://www.econbiz.de/10003121131
Saved in:
30
Minimal entropy-Hellinger martingale measure in incomplete markets
Choulli, Tahir
;
Stricker, Christophe
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 465-490
Persistent link: https://www.econbiz.de/10002983174
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31
Mean-variance portfolio choice : quadratic partial hedging
Xia, Jianming
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 533-538
Persistent link: https://www.econbiz.de/10002983332
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32
Fundamental theorems of asset pricing for good deal bounds
Staum, Jeremy
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 141-161
Persistent link: https://www.econbiz.de/10002032681
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33
A note on completeness in large financial markets
De Donno, Marzia
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 295-315
Persistent link: https://www.econbiz.de/10002032701
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34
Pricing in an incomplete market with an affine term structure
Young, Virginia R.
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 359-381
Persistent link: https://www.econbiz.de/10002125530
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35
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
;
Venardos, Emmanouil
- In:
Mathematical finance : an international journal of …
13
(
2003
)
4
,
pp. 445-466
Persistent link: https://www.econbiz.de/10001803210
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36
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
Benth, Fred Espen
;
Di Nunno, Giulia
;
Løkka, Arne
; …
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001765640
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37
On the existence of minimax martingale measures
Bellini, Fabio
;
Frittelli, Marco
- In:
Mathematical finance : an international journal of …
12
(
2002
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10001686149
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38
Market selection of financial trading strategies : global stability
Evstigneev, Igor V.
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 329-339
Persistent link: https://www.econbiz.de/10001741939
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39
Valuation of claims on nontraded assets using utility maximization
Henderson, Vicky
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 351-373
Persistent link: https://www.econbiz.de/10001741947
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40
Pricing of new securities in an incomplete market : the catch 22 of no-arbitrage pricing
Boyle, Phelim P.
;
Wang, Tan
- In:
Mathematical finance : an international journal of …
11
(
2001
)
3
,
pp. 267-284
Persistent link: https://www.econbiz.de/10001651136
Saved in:
41
A comparison of two quadratic approaches to hedging in incomplete markets
Heath, David C.
;
Platen, Eckhard
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
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42
Equilibrium with default and endogenous collateral
Araújo, Aloísio Barboza de
;
Orrillo, Jaime
;
Páscoa, …
- In:
Mathematical finance : an international journal of …
10
(
2000
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10002177101
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43
The minimal entropy martingale measure and the valuation problem in incomplete markets
Frittelli, Marco
- In:
Mathematical finance : an international journal of …
10
(
2000
)
1
,
pp. 39-52
Persistent link: https://www.econbiz.de/10002177131
Saved in:
44
On the pricing of contingent claims with frictions
Bensoussan, Alain
;
Julien, H.
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 89-108
Persistent link: https://www.econbiz.de/10002177180
Saved in:
45
Risk minimization with incomplete information in a model for high-frequency data
Frey, Rüdiger
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 215-225
Persistent link: https://www.econbiz.de/10002177564
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46
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
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47
Pricing via utility maximization and entropy
Rouge, Richard
;
El Karoui, Nicole
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 259-276
Persistent link: https://www.econbiz.de/10002177670
Saved in:
48
Portfolio optimization and martingale measures
Schäl, Manfred
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 289-303
Persistent link: https://www.econbiz.de/10002177751
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49
Option pricing in discrete-time incomplete market models
Stettner, Lukasz
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 305-321
Persistent link: https://www.econbiz.de/10002177770
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50
Mean-variance hedging and numéraire
Gouriéroux, Christian
- In:
Mathematical finance : an international journal of …
8
(
1998
)
3
,
pp. 179-200
Persistent link: https://www.econbiz.de/10001245923
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