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Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Hubalek, Friedrich; Schachermayer, Walter - In: Insurance / Mathematics & economics 34 (2004) 2, pp. 193-226
Persistent link: https://www.econbiz.de/10006882822
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A General Proof of the Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall
Hubalek, Friedrich; Klein, Irene; Teichmann, Josef - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 447-452
Persistent link: https://www.econbiz.de/10008216127
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When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385
Persistent link: https://www.econbiz.de/10008218985
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Optimal expected exponential utility of dividend payments in a Brownian risk model
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2007) 2, pp. 73-107
Persistent link: https://www.econbiz.de/10007740917
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Optimal portfolios for exponential Lévy processes
Kallsen, Jan - In: Mathematical methods of operations research 51 (2000) 3, pp. 357-374
Persistent link: https://www.econbiz.de/10006623505
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A utility maximization approach to hedging in incomplete markets
Kallsen, Jan - In: Mathematical methods of operations research 50 (1999) 2, pp. 321-338
Persistent link: https://www.econbiz.de/10006626461
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Pricing derivatives of American and game type in incomplete markets
Kallsen, Jan; Kühn, Christoph - In: Finance and stochastics 8 (2004) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10008214883
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The cumulant process and Esscher's change of measure
Kallsen, Jan; Shiryaev, Albert N. - In: Finance and stochastics 6 (2002) 4, pp. 397-428
Persistent link: https://www.econbiz.de/10008216168
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Derivative pricing based on local utility maximization
Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115
Persistent link: https://www.econbiz.de/10008216496
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Option Pricing in ARCH-type Models
Kallsen, Jan; Taqqu, Murad S. - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 13-26
Persistent link: https://www.econbiz.de/10008219353