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An optimal consumption model with stochastic volatility

Fleming, Wendell Helms; Hernández-Hernández, Daniel - In: Finance and stochastics 7 (2003) 2, pp. 245-262

Persistent link: https://www.econbiz.de/10001762755

Robust utility maximization in a stochastic factor model

Hernández-Hernández, Daniel (contributor); … - 2005

We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in terms of...

Persistent link: https://www.econbiz.de/10003324220

Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model

Hernández-Hernández, Daniel; Ricalde-Guerrero, Joshué H. - In: Dynamic games and applications : DGA 12 (2022) 4, pp. 1293-1311

Persistent link: https://www.econbiz.de/10013433667

Credit risk : modeling, valuation and hedging

Bielecki, Tomasz R.; Rutkowski, Marek - 2002

Persistent link: https://www.econbiz.de/10001621020

Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection

Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012650186

Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000

Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001597059