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Less is more : increasing retirement gains by using an upside terminal wealth constraint

Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat - In: Insurance / Mathematics & economics 64 (2015), pp. 259-267

Persistent link: https://www.econbiz.de/10011398052

On Optimal Constrained Investment Strategies for Long-Term Savers in Stochastic Environments and Probability Hedging

Gerrard, Russell J.; Kyriakou, Ioannis; Nielsen, Jens Perch - 2023

In this paper, we derive constrained optimal investment strategies for long-term savers who are interested in investing their funds in stocks, but are afraid of potentially losing, for example, their retirement income. We call this probability hedging as it is determined by the probability of...

Persistent link: https://www.econbiz.de/10014255032

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111

Persistent link: https://www.econbiz.de/10001486629

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93

Persistent link: https://www.econbiz.de/10001487041

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998

Persistent link: https://www.econbiz.de/10000997340

A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics

Medvedev, Alexey; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001825737

Linear-quadratic jump-diffusion modelling with application to stochastic volatility

Cheng, Peng (contributor); Scaillet, Olivier (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001790927

Linear-quadratic jump-diffusion modelling with application to stochastic volatility

Cheng, Peng (contributor); Scaillet, Olivier (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001906852

A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics

Medvedev, Alexey (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001864584

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025

Persistent link: https://www.econbiz.de/10015137989

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