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Derivatives trading for insurers

Xue, Xiaole; Wei, Pengyu; Weng, Chengguo - In: Insurance / Mathematics & economics 84 (2019), pp. 40-53

Persistent link: https://www.econbiz.de/10011990431

The perturbation method applied to a robust optimization problem with constraint

Luo, Peng; Schied, Alexander; Xue, Xiaole - In: Mathematics and financial economics 18 (2024) 1, pp. 95-112

Persistent link: https://www.econbiz.de/10015045584

Optimal portfolio liquidation in target zone models and catalytic superprocesses

Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011471483

Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790

Persistent link: https://www.econbiz.de/10014329362

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

Fast and slow optimal trading with exogenous information

Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607

Persistent link: https://www.econbiz.de/10015394810

Trading with the crowd

Neuman, Eyal; Voß, Moritz - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 548-617

Persistent link: https://www.econbiz.de/10014329897

Constant proportion portfolio insurance under a regime switching exponential Lévy process

Weng, Chengguo - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 508-521

Persistent link: https://www.econbiz.de/10009763599

A Backward Simulation Method for Stochastic Optimal Control Problems

Shen, Zhiyi - 2019

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control problems as analytical solutions are not tractable...

Persistent link: https://www.econbiz.de/10012894503

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

Wu, Huiling; Weng, Chengguo; Zeng, Yan - In: OR spectrum : quantitative approaches in management 40 (2018) 2, pp. 541-582

Persistent link: https://www.econbiz.de/10011868232