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Markowitz's mean-variance asset-liability management with regime switching : a multi-period model
Chen, Ping; Yang, Hailiang - In: Applied mathematical finance 18 (2011) 1/2, pp. 29-50
Persistent link: https://www.econbiz.de/10009155490
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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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A PDE approach to risk measures of derivatives
Siu, Tak-kuen; Yang, Hailiang - In: Applied mathematical finance 7 (2000) 3, pp. 211-228
Persistent link: https://www.econbiz.de/10001590511
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Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model
Chen, Ping; Yang, Hailiang - In: Applied mathematical finance 18 (2011) 1, pp. 29-51
Persistent link: https://www.econbiz.de/10008844202
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A PDE approach to risk measures of derivatives
Siu, Tak Kuen; Yang, Hailiang - In: Applied mathematical finance 7 (2000) 3, pp. 211
Persistent link: https://www.econbiz.de/10008217266