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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Utility maximization with intermediate consumption under restricted information for jump market models
Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34
Persistent link: https://www.econbiz.de/10009672596
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Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-22
Persistent link: https://www.econbiz.de/10009685882
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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Equity portfolio insurance against a benchmark : setting, replication and optimality
Bahaji, Hamza - In: Economic modelling 40 (2014), pp. 382-391
Persistent link: https://www.econbiz.de/10010425588
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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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Portfolio optimization in a defaultable Lévy-driven market model
Pagliarani, Stefano; Vargiolu, Tiziano - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 617-654
Persistent link: https://www.econbiz.de/10011296739
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Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
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On the market viability under proportional transaction costs
Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838
Persistent link: https://www.econbiz.de/10011969083
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Robust utility maximization with Lévy processes
Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105
Persistent link: https://www.econbiz.de/10011969154