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1
Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix
;
Ferrari, Giorgio
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
Saved in:
2
A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
Saved in:
3
My journey through finance and stochastics
Musiela, Marek
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 33-58
Persistent link: https://www.econbiz.de/10012796468
Saved in:
4
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
5
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
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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
Market-to-book ratio in stochastic portfolio theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
Saved in:
8
Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir
;
Yansori, Sina
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
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9
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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10
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
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11
High-frequency trading with fractional Brownian motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
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12
Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis
;
Kim, Donghan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
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13
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
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14
Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko
;
Kevkhishvili, Rusudan
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 795-825
Persistent link: https://www.econbiz.de/10012518100
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15
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
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16
Utility maximisation in a factor model with constant and proportional transaction costs
Belak, Christoph
;
Christensen, Sören
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 29-96
Persistent link: https://www.econbiz.de/10012023241
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17
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
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18
Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich
;
Xia, Xiaonyu
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
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19
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:
20
No-arbitrage under a class of honest times
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
Saved in:
21
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Saved in:
22
On time-inconsistent stochastic control in continuous time
Björk, Tomas
;
Khapko, Mariana
;
Murgoci, Agatha
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 331-360
Persistent link: https://www.econbiz.de/10011944378
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23
Trading strategies generated by Lyapunov functions
Karatzas, Ioannis
;
Ruf, Johannes
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 753-787
Persistent link: https://www.econbiz.de/10011944423
Saved in:
24
No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna
;
Choulli, Tahir
;
Deng, Jun
;
Jeanblanc, Monique
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
Saved in:
25
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
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26
Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald
;
Lépinette, Emmanuel
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
Saved in:
27
Optimal Portfolios in commodity futures markets
Benth, Fred Espen
;
Lempa, Jukka
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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28
A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas
;
Murgoci, Agatha
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
Saved in:
29
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim
;
Song, Qingshuo
;
Yang, Jie
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
Saved in:
30
Mean-variance hedging with oil futures
Wang, Liao
;
Wissel, Johannes Stefan
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 641-683
Persistent link: https://www.econbiz.de/10010190888
Saved in:
31
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
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32
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger
;
Schmidt, Thorsten
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 105-133
Persistent link: https://www.econbiz.de/10009423247
Saved in:
33
On irreversible investment
Riedel, Frank
;
Su, Xia
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 607-633
Persistent link: https://www.econbiz.de/10009423296
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34
Liquidity risk, price impacts and the replication problem
Roch, Alexandre F.
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 399-419
Persistent link: https://www.econbiz.de/10009303238
Saved in:
35
Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
Saved in:
36
Representation of the penalty term of dynamic concave utilities
Delbaen, Freddy
;
Peng, Shige
;
Rosazza Gianin, Emanuela
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 449-472
Persistent link: https://www.econbiz.de/10010216492
Saved in:
37
Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe
;
Schönbucher, Philipp J.
- In:
Finance and stochastics
13
(
2009
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10003939478
Saved in:
38
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong
;
Glasserman, Paul
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
Saved in:
39
Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B.
- In:
Finance and stochastics
12
(
2008
)
2
,
pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
Saved in:
40
Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon
- In:
Finance and stochastics
12
(
2008
)
2
,
pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
Saved in:
41
A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Hata, Hiroaki
;
Iida, Yasunari
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 395-426
Persistent link: https://www.econbiz.de/10003380023
Saved in:
42
A note on the large homogeneous portfolio approximation with the student-t copula
Schlögl, Lutz
;
O'Kane, Dominic
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 577-584
Persistent link: https://www.econbiz.de/10003133291
Saved in:
43
Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
Saved in:
44
An approximation pricing algrithm in an incomplete market : a differential geometric approach
Gao, Yuan
;
Guan Lim, Kian
;
Hwa Ng, Kah
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 501-523
Persistent link: https://www.econbiz.de/10002261445
Saved in:
45
Optimizing the terminal wealth under partial information : the drift process as a continuous time markov chain
Sass, Jörn
;
Haussmann, Ulrich G.
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 553-577
Persistent link: https://www.econbiz.de/10002261492
Saved in:
46
A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
Saved in:
47
An optimal consumption model with stochastic volatility
Fleming, Wendell Helms
;
Hernández-Hernández, Daniel
- In:
Finance and stochastics
7
(
2003
)
2
,
pp. 245-262
Persistent link: https://www.econbiz.de/10001762755
Saved in:
48
Exponential growth of fixed-mix strategies in stationary asset markets
Dempster, Michal A. H.
;
Evstigneev, Igor V.
; …
- In:
Finance and stochastics
7
(
2003
)
2
,
pp. 263-276
Persistent link: https://www.econbiz.de/10001762762
Saved in:
49
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas
;
Rüschendorf, Ludger
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 557-581
Persistent link: https://www.econbiz.de/10001614624
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50
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
- In:
Finance and stochastics
3
(
1999
)
3
,
pp. 251-273
Persistent link: https://www.econbiz.de/10001389101
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