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Representation formulas for Malliavin derivatives of diffusion processes
Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Finance and stochastics 9 (2005) 3, pp. 349-367
Persistent link: https://www.econbiz.de/10002946698
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Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints
Detemple, Jérôme B.; Rindisbacher, Marcel - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 539-568
Persistent link: https://www.econbiz.de/10003121127
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On American VIX options under the generalized 3/2 and 1/2 models
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 550-581
Persistent link: https://www.econbiz.de/10011969085
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The value of green energy : optimal investment in mutually exclusive projects and operating leverage
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: The review of financial studies 33 (2020) 7, pp. 3307-3347
Persistent link: https://www.econbiz.de/10012248922
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Renewable energy investment under stochastic interest rate with regime-switching volatility
Detemple, Jérôme B.; Kitapbayev, Yerkin; Reppen, A. Max - In: Energy economics 136 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015046931
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General bounds and finite-time improvement for the Kiefer-Wolfowitz stochastic approximation algorithm
Broadie, Mark; Cicek, Deniz; Zeevi, Assaf - In: Operations research 59 (2011) 5, pp. 1211-1224
Persistent link: https://www.econbiz.de/10010217832
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338