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On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper

Kabanov, Yuri M.; Stricker, Christophe - In: Mathematical Finance 12 (2002) 2, pp. 125-134

Persistent link: https://www.econbiz.de/10005139684

ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

Chatelain, Michel; Stricker, Christophe - In: Mathematical Finance 4 (1994) 1, pp. 57-65

We give a condition under which the componentwise stochastic integration with respect to a given R-super-"d"-valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector...

Persistent link: https://www.econbiz.de/10008521967

MORE ON MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE

Choulli, Tahir; Stricker, Christophe - In: Mathematical Finance 16 (2006) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10005139699

MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

Choulli, Tahir; Stricker, Christophe - In: Mathematical Finance 15 (2005) 3, pp. 465-490

Persistent link: https://www.econbiz.de/10005139711

Exponential Hedging and Entropic Penalties

Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; … - In: Mathematical Finance 12 (2002) 2, pp. 99-123

Persistent link: https://www.econbiz.de/10005193375

Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

DELBAEN, FREDDY; KABANOV, YURI M.; VALKEILA, ESKO - In: Mathematical Finance 12 (2002) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10005193369

Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model

KABANOV, YURI M.; LAST, GÜNTER - In: Mathematical Finance 12 (2002) 1, pp. 63-70

Persistent link: https://www.econbiz.de/10005193402