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Portfolio optimization under convex incentive schemes
Bichuch, Maxim; Sturm, Stephan - In: Finance and stochastics 18 (2014) 4, pp. 873-915
Persistent link: https://www.econbiz.de/10010416186
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Optimal investment and price dependence in a semi-static market
Siorpaes, Pietro - In: Finance and stochastics 19 (2015) 1, pp. 161-187
Persistent link: https://www.econbiz.de/10011417148
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Convex duality in optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu; Perkkiö, Ari-Pekka - In: Finance and stochastics 22 (2018) 4, pp. 733-771
Persistent link: https://www.econbiz.de/10011946560
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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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
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Fourier series method for measurement of multivariate volatilities
Malliavin, Paul; Mancino, Maria Elvira - In: Finance and stochastics 6 (2002) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10001643748
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Double-sided Parisian option pricing
Anderluh, J. H. M.; Weide, Hans van der - In: Finance and stochastics 13 (2009) 2, pp. 205-238
Persistent link: https://www.econbiz.de/10003939511