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Evaluating the credit exposure of interest rate derivatives under the real-world measure

Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95

Persistent link: https://www.econbiz.de/10011992271

A libor market model including credit risk under the real-world measure

Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141

Persistent link: https://www.econbiz.de/10012544160

Sensitivity of optimal consumption streams

Herdegen, Martin; Muhle-Karbe, Johannes - 2015

We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the leading order, the consumption adjustment does not matter: any choice that matches the budget constraint simply shifts the original utility by the marginal value of the...

Persistent link: https://www.econbiz.de/10011412135

Mean-variance portfolio selection with dynamic targets for expected terminal wealth

He, Xue Dong; Jiang, Zhaoli - In: Mathematics of operations research 47 (2022) 1, pp. 587-615

Persistent link: https://www.econbiz.de/10013364907

Liquidity, markets and trading in action : an interdisciplinary perspective

Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A.; … - 2022 - 1st ed. 2022.

Chapter 1: Economics and the Equity Market: A Microeconomics Course Application -- Chapter 2: Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application -- Chapter 3: Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application -- Chapter...

Persistent link: https://www.econbiz.de/10012814615

Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets

Chacko, George; Viceira, Luis M. - 2005

Persistent link: https://www.econbiz.de/10002648034

Optimal consumption and portfolio choices in the stochastic SIS model

Li, Shilin; Li, Tongtong; Yang, Jinqiang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10014225733

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

Li, Xun; Yu, Xiang; Zhang, Qinyi - In: Insurance / Mathematics & economics 108 (2023), pp. 25-45

Persistent link: https://www.econbiz.de/10013534508

Optimal investment and consumption strategies for pooled annuity with partial information

Xie, Lin; Lv, Chen; Qian, Linyi; Li, Danping; Yang, Zhixin - In: Insurance / Mathematics & economics 108 (2023), pp. 129-155

Persistent link: https://www.econbiz.de/10013534515

Robustness meets co-jumps : optimal consumption and portfolio choice with derivatives

Oliva, Immacolata; Stefani, Ilaria - In: Quantitative finance 24 (2024) 12, pp. 1799-1822

Persistent link: https://www.econbiz.de/10015196971