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Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121

Persistent link: https://www.econbiz.de/10011460007

Chapter 5: Exponential and logarithmic functions

Todorova, Tamara - 2010

"Problems Book to Accompany Mathematics for Economists" is intended to complement any course in quantitative methods in … aimed as an inexpensive supplement to nearly all undergraduate courses in mathematics for economists with the exception of …, which will enable students to reinforce and strengthen the theory they have learnt from standard textbooks in mathematical …

Persistent link: https://www.econbiz.de/10011774202

Stochastic financial models

Kennedy, Douglas - 2010

Persistent link: https://www.econbiz.de/10015069224

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

Utility maximization in a large market

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10011969163

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

An expansion in the model space in the context of utility maximization

Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan - In: Finance and stochastics 22 (2018) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10011945713

Transaction costs and shadow prices in discrete time

Czichowsky, Christoph; Muhle-Karbe, Johannes; … - 2013

. We also clarify the connection between shadow prices and duality theory. Whereas dual minimizers need not lead to shadow …

Persistent link: https://www.econbiz.de/10010257516

An innovative design of flexible, bequest-enhanced life annuity with natural hedging

Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - In: Scandinavian actuarial journal 2022 (2022) 6, pp. 488-509

Persistent link: https://www.econbiz.de/10013370711

Strategic technology adoption and hedging under incomplete markets

Leippold, Markus; Stromberg, Jacob - 2014

We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk...

Persistent link: https://www.econbiz.de/10011293735