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Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications
Aïd, René; Basei, Matteo; Callegaro, Giorgia; Campi, … - In: Mathematics of operations research 45 (2020) 1, pp. 205-232
Persistent link: https://www.econbiz.de/10012183035
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Correlated equilibria and mean field games : a simple model
Campi, Luciano; Fischer, Markus - In: Mathematics of operations research 47 (2022) 3, pp. 2240-2259
Persistent link: https://www.econbiz.de/10013375049
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Numeraire-invariant quadratic hedging and mean-variance portfolio allocation
Černý, Aleš; Czichowsky, Christoph; Kallsen, Jan - In: Mathematics of operations research 49 (2024) 2, pp. 752-781
Persistent link: https://www.econbiz.de/10014564364
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Liquidity provision with adverse selection and inventory costs
Herdegen, Martin; Muhle-Karbe, Johannes; Stebegg, Florian - In: Mathematics of operations research 48 (2023) 3, pp. 1286-1315
Persistent link: https://www.econbiz.de/10014329263
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An equilibrium model for the cross section of liquidity premia
Muhle-Karbe, Johannes; Shi, Xiaofei; Yang, Chen - In: Mathematics of operations research 48 (2023) 3, pp. 1423-1453
Persistent link: https://www.econbiz.de/10014329292