In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded...

The reward of a fund manager usually increases when the Asset Under Management (AUM) grows, while it decreases when the AUM shrinks. The AUM may grow either because of a higher value of the assets or because of new money flowing into the fund. Good performances of the fund with respect to its...

We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced ones with the expectation that their prices converge...