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Stochastic preferences and general equilibrium theory

Delbaen, Freddy - In: Allocation under uncertainty: equilibrium and …, (pp. 98-109). 1974

Persistent link: https://www.econbiz.de/10003523914

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

Currency derivatives under a minimal market model with random scaling

Heath, David C.; Platen, Eckhard - 2005

Persistent link: https://www.econbiz.de/10002765054

A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2006 - Softcover reprint of th hardcover 1st edition 2006

Persistent link: https://www.econbiz.de/10003042060

A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2010 - Corr., 2. print.

Persistent link: https://www.econbiz.de/10008779415

Coherent and convex monetary risk measures for unbounded càdlàg processes

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - In: Finance and stochastics 9 (2005) 3, pp. 369-387

Persistent link: https://www.econbiz.de/10002946711

Stochastic Order-Monotone Uncertainty-Averse Preferences

Cheridito, Patrick - 2015

In this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main...

Persistent link: https://www.econbiz.de/10013027194

Harmonic analysis of stochastic equations and backward stochastic differential equations

Delbaen, Freddy; Tang, Shanjian - In: Probability theory and related fields : continuation of … 146 (2010) 1/2, pp. 291-336

Persistent link: https://www.econbiz.de/10003933919

Representation of the penalty term of dynamic concave utilities

Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela - In: Finance and stochastics 14 (2010) 3, pp. 449-472

Persistent link: https://www.econbiz.de/10010216492

Existence and non-uniqueness of solutions for BSDE

Bao, Xiaobo; Delbaen, Freddy; Hu, Ying - In: Contemporary quantitative finance : essays in honour of …, (pp. 123-134). 2010

Persistent link: https://www.econbiz.de/10008749294