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Mathematical programming
Portfolio selection
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Mathematische Optimierung
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bonus hunger
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bonus-malus
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control
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Elie, Romuald
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Blanchet-Scalliet, Christophette
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Chassagneux, Jean-François
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Espinosa, Gilles-Eduard
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Finance and stochastics
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International journal of theoretical and applied finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Springer Briefs in Mathematics of Planet Earth, Weather Climate, Oceans
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ECONIS (ZBW)
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A forward-backward SDEs approach to pricing in carbon markets
Chassagneux, Jean-François
;
Chotai, Hinesh
;
Muûls, …
-
2017
-
1st edition 2017
Persistent link: https://www.econbiz.de/10011710374
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2
Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette
;
Chevalier, Etienne
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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3
Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald
;
Touzi, Nizar
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
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4
Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift
Elie, Romuald
;
Espinosa, Gilles-Eduard
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 754-788
Persistent link: https://www.econbiz.de/10011350516
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