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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

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Optimal portfolios for exponential Lévy processes

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Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

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Weak convergence of financial markets

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Constrained portfolio optimization

Müller, Stephan - 2005

The thesis considers an investor's problem of optimal consumption and portfolio choice in a financial market. The model used for the financial market is the semimartingales model. The thesis shows that an optimal solution to this problem exists, even if the investor is contrained in the...

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Optimal investment and proportional reinsurance with risk constraint

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Completeness of bond market driven by Lévy process

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Utility maximization in affine stochastic volatility models

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