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Optimal investment in markets with over and under-reaction to information

Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; … - In: Mathematics and financial economics 11 (2017) 3, pp. 299-322

Persistent link: https://www.econbiz.de/10011900563

Optimal credit allocation under regime uncertainty with sensitivity analysis

Bernis, Guillaume; Carassus, Laurence; Docq, Grégoire; … - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011403164

An application to credit risk of a hybrid Monte Carlo-optimal quantization method

Callegaro, Giorgia; Sagna, Abass - In: The journal of computational finance 16 (2012/13) 4, pp. 123-156

Persistent link: https://www.econbiz.de/10009776257

Portfolio optimization in a defaultable market under incomplete information

Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in economics and finance : DEF ; a journal of … 35 (2012) 2, pp. 91-111

Persistent link: https://www.econbiz.de/10009656936

Portfolio optimization in discontinuous markets under incomplete information

Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, … - In: Asia-Pacific financial markets 13 (2006) 4, pp. 373-394

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Acceptability indexes via g-expectations : an application to liquidity risk

Rosazza Gianin, Emanuela; Sgarra, Carlo - In: Mathematics and financial economics 7 (2013) 4, pp. 457-475

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Acceptability Indexes Via 'g-Expectations' : An Application to Liquidity Risk

Rosazza Gianin, Emanuela - 2013

Recently several authors focused their attention on Acceptability Indexes (AI) and their applications in Finance. The AI notion turns out to be quite flexible and several applications in different directions have been proposed. In particular, in a paper by A. Cerny and D. Madan illiquid markets...

Persistent link: https://www.econbiz.de/10013091304