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Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214
Persistent link: https://www.econbiz.de/10014447662
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An application of hidden Markov models to asset allocation problems
Elliott, Robert J. - In: Finance and stochastics 1 (1997) 3, pp. 229-238
Persistent link: https://www.econbiz.de/10001224221
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Stochastic flows and the forward measure
Elliott, Robert J.; Hoek, John van der - In: Finance and stochastics 5 (2001) 4, pp. 511-525
Persistent link: https://www.econbiz.de/10001614608
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Optimal investment in derivative securities
Carr, Peter; Jin, Xing; Madan, Dilip B. - In: Finance and stochastics 5 (2001) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001553046
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Stochastic volatility, jumps and hidden time changes
Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 6 (2002) 1, pp. 63-90
Persistent link: https://www.econbiz.de/10001643753
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Pricing options on realized variance
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 9 (2005) 4, pp. 453-475
Persistent link: https://www.econbiz.de/10003123173
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On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Madan, Dilip B.; Pistorius, M.; Stadje, M. - In: Finance and stochastics 21 (2017) 4, pp. 1073-1102
Persistent link: https://www.econbiz.de/10011944476
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Stochastic flows and the forward measure
Elliott, Robert J.; van der Hoek, John - In: Finance and stochastics 5 (2001) 4, pp. 511-526
Persistent link: https://www.econbiz.de/10008216790
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Option Pricing for Pure Jump Processes with Markov Switching Compensators
Elliott, Robert J.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10008222668