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Optimal decisions in a time priority queue

Donnelly, Ryan; Gan, Luhui - In: Applied mathematical finance 25 (2018) 1/2, pp. 107-147

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Effort expenditure for cash flow in a mean-field equilibrium

Donnelly, Ryan; Leung, Tim - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-23

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Insider trading with temporary price impact

Barger, Weston; Donnelly, Ryan - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-32

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Dynamic inventory management with mean-field competition

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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach

Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363

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Time-changed fast mean-reverting stochastic volatility models

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Indifference prices and implied volatilities

Lorig, Matthew - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 372-408

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Bond Indifference Prices

Lorig, Matthew; Zou, Bin - 2021

In a market with stochastic interest rates, we consider an investor who can either (i) invest all of his wealth in a money market account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in the money market account. The indifference price of the zero-coupon bond is the...

Persistent link: https://www.econbiz.de/10013250836