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1
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro
;
Frittelli, Marco
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 255-304
Persistent link: https://www.econbiz.de/10014253636
Saved in:
2
Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher, Hansjörg
;
Azcue, Pablo
;
Muler, Nora
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 341-400
Persistent link: https://www.econbiz.de/10014253644
Saved in:
3
From Bachelier to Dupire via optimal transport
Beiglböck, Mathias
;
Pammer, Gudmund
;
Schachermayer, Walter
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
Saved in:
4
Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Belomestny, Denis
;
Hübner, Tobias
;
Krätschmer, Volker
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 461-503
Persistent link: https://www.econbiz.de/10013440233
Saved in:
5
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Saved in:
6
Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei
;
Pergamenchtchikov, Serguei
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
Saved in:
7
Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
Saved in:
8
Duality theory for robust utility maximisation
Bartl, Daniel
;
Kupper, Michael
;
Neufeld, Ariel
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 469-503
Persistent link: https://www.econbiz.de/10012585983
Saved in:
9
Adapted Wasserstein distances and stability in mathematical finance
Backhoff, Julio Daniel
;
Bartl, Daniel
;
Beiglböck, Mathias
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 601-632
Persistent link: https://www.econbiz.de/10012518060
Saved in:
10
Incorporating signals into optimal trading
Lehalle, Charles-Albert
;
Neuman, Eyal
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 275-311
Persistent link: https://www.econbiz.de/10012023738
Saved in:
11
Robust bounds for the American put
Hobson, David G.
;
Norgilas, Dominykas
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
Saved in:
12
Sensitivity analysis of the utility maximisation problem with respect to model perturbations
Mostovyi, Oleksii
;
Sîrbu, Mihai
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 595-640
Persistent link: https://www.econbiz.de/10012023757
Saved in:
13
Dynamic programming approach to principal-agent problems
Cvitanić, Jakša
;
Possamaï, Dylan
;
Touzi, Nizar
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011945612
Saved in:
14
Optimal liquidation under stochastic liquidity
Becherer, Dirk
;
Bilarev, Todor
;
Frentrup, Peter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
Saved in:
15
Robust pricing-hedging dualities in continuous time
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
16
Hedging under multiple risk constraints
Jiao, Ying
;
Klopfenstein, Olivier
;
Tankov, Peter
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
Saved in:
17
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
Saved in:
18
Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano
;
Laachir, Ismail
;
Martini, Claude
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
Saved in:
19
An explicit martingale version of the one-dimensional Brenier theorem
Henry-Labordère, Pierre
;
Touzi, Nizar
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 635-668
Persistent link: https://www.econbiz.de/10011531053
Saved in:
20
Facelifting in utility maximization
Larsen, Kasper
;
Soner, Halil Mete
;
Žitković, Gordan
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
Saved in:
21
Adaptive basket liquidation
Schöneborn, Torsten
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 455-493
Persistent link: https://www.econbiz.de/10011471455
Saved in:
22
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
Saved in:
23
Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
Saved in:
24
An optimal consumption problem in finite time with a constraint on the ruin probability
Grandits, Peter
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 791-847
Persistent link: https://www.econbiz.de/10011421027
Saved in:
25
An optimal execution problem with market impact
Kato, Takashi
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 695-732
Persistent link: https://www.econbiz.de/10010395953
Saved in:
26
Portfolio optimization under convex incentive schemes
Bichuch, Maxim
;
Sturm, Stephan
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 873-915
Persistent link: https://www.econbiz.de/10010416186
Saved in:
27
The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan
;
Muhle-Karbe, Johannes
;
Schachermayer, …
- In:
Finance and stochastics
17
(
2013
)
2
,
pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
Saved in:
28
Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger
;
Seifried, Frank Thomas
;
Steffensen, Mogens
- In:
Finance and stochastics
17
(
2013
)
1
,
pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
Saved in:
29
Generalized stochastic target problems for pricing and partial hedging under loss constraints : application in optimal book liquidation
Bouchard, Bruno
;
Dang, Ngoc-minh
- In:
Finance and stochastics
17
(
2013
)
1
,
pp. 31-72
Persistent link: https://www.econbiz.de/10009682291
Saved in:
30
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir
;
Obłój, Jan
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
Saved in:
31
Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 27-55
Persistent link: https://www.econbiz.de/10008824136
Saved in:
32
Dual pricing of multi-exercise options under volume constraints
Bender, Christian
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
Saved in:
33
Pension funds with a minimum guarantee : a stochastic control approach
Di Giacinto, Marina
;
Federico, Salvatore
;
Gozzi, Fausto
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 297-342
Persistent link: https://www.econbiz.de/10009159089
Saved in:
34
A stochastic control problem with delay arising in a pension fund model
Federico, Salvatore
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 421-459
Persistent link: https://www.econbiz.de/10009303232
Saved in:
35
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
Saved in:
36
Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan
;
Young, Virginia R.
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 785-818
Persistent link: https://www.econbiz.de/10009423263
Saved in:
37
On optimal portfolio diversification with respect to extreme risks
Mainik, Georg
;
Rüschendorf, Ludger
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 593-623
Persistent link: https://www.econbiz.de/10008823689
Saved in:
38
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
Grandits, Peter
;
Temnov, Grigory
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 569-591
Persistent link: https://www.econbiz.de/10008823690
Saved in:
39
Exponential utility maximization under partial information
Mania, Michael
;
Santacroce, Marina
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 419-448
Persistent link: https://www.econbiz.de/10010216491
Saved in:
40
Adjoint-based Monte Carlo calibration of financial market models
Kaebe, C.
;
Maruhn, J. H.
;
Sachs, Ekkehard
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 351-379
Persistent link: https://www.econbiz.de/10003899315
Saved in:
41
MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole
;
Rieder, Ulrich
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
Saved in:
42
Local time and the pricing of time-dependent barrier
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
14
(
2010
)
1
,
pp. 13-48
Persistent link: https://www.econbiz.de/10003924781
Saved in:
43
Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald
;
Touzi, Nizar
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
Saved in:
44
On q-optimal martingale measures in exponential Lévy models
Bender, Christian
;
Niethammer, Christina R.
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
Saved in:
45
Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin
;
Wissel, Johannes
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
Saved in:
46
American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z.
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
Saved in:
47
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
Chen, Yu-Ting
;
Lee, Cheng F.
;
Sheu, Yuan-Chung
- In:
Finance and stochastics
11
(
2007
)
3
,
pp. 323-355
Persistent link: https://www.econbiz.de/10003485808
Saved in:
48
Optimal exercise of executive stock options
Rogers, Leonard C. G.
;
Scheinkman, José Alexandre
- In:
Finance and stochastics
11
(
2007
)
3
,
pp. 357-372
Persistent link: https://www.econbiz.de/10003485810
Saved in:
49
Multivariate risks and depth-trimmed regions
Cascos, Ignacio
;
Molchanov, Ilya
- In:
Finance and stochastics
11
(
2007
)
3
,
pp. 373-397
Persistent link: https://www.econbiz.de/10003485812
Saved in:
50
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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