We consider the problem of an optimal stochastic impulse control of non-Markovian Processes when the expression of the cost functional integrates sensitiveness with respect to the risk. For this class, we try to establish the existence of an optimal strategy. We prove that our impulse control...

We study investment problems in a continuous-time setting and conclude that the proper control variables are elasticities to the traded assets or, in the case of stochastic interest rates, (factor) durations. This formulation of a portfolio problem allows us to solve the problems in a kind of...

We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric...

As a main contribution we present a new approach for studying the problem of optimal partial hedging of an American contingent claim in a finite and complete discrete-time market. We assume that at an early exercise time the investor can borrow the amount she has to pay for the option holder by...