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Moment and polynomial bounds for ruin-related quantities in risk theory
He, Yue; Kawai, Reiichiro - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1255-1271
Persistent link: https://www.econbiz.de/10013363852
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Local vega index and variance reduction methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97
Persistent link: https://www.econbiz.de/10001765651
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Utility maximization in an insider influenced market
Kohatsu-Higa, Arturo; Sulem, Agnès - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10003336869
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Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009
Persistent link: https://www.econbiz.de/10003827062