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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Existence and structure of stochastic equilibria with intertemporal substitution
Bank, Peter; Riedel, Frank - In: Finance and stochastics 5 (2001) 4, pp. 487-509
Persistent link: https://www.econbiz.de/10001614604
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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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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
Carassus, Laurence; Wiesel, Johannes - In: Finance and stochastics 29 (2025) 2, pp. 519-551
Persistent link: https://www.econbiz.de/10015394809
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Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker - In: Finance and stochastics 26 (2022) 3, pp. 461-503
Persistent link: https://www.econbiz.de/10013440233
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A mathematical treatment of bank monitoring incentives
Pagès, Henri; Possamaï, Dylan - In: Finance and stochastics 18 (2014) 1, pp. 39-73
Persistent link: https://www.econbiz.de/10010235458
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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
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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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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