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Kelly trading and market equilibrium

Bermin, Hans-Peter; Holm, Magnus - In: International journal of theoretical and applied … 26 (2023) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10014305905

Hedging lookback and partial lookback options using Malliavin calculus

Bermin, Hans-Peter - In: Applied mathematical finance 7 (2000) 2, pp. 75-100

Persistent link: https://www.econbiz.de/10001563798

Hedging options : the Malliavin calculus approach versus the -hedging approach

Bermin, Hans-Peter - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10001765649

A general approach to hedging options: applications to barrier and partial barrier options

Bermin, Hans-Peter - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 199-218

Persistent link: https://www.econbiz.de/10001686368

On dynamic forward rate modeling and principal component analysis

Bermin, Hans-Peter - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10010437211

Local volatility changes in the Black-Scholes model

Bermin, Hans-Peter; Kohatsu-Higa, Arturo - 1999

Persistent link: https://www.econbiz.de/10001425316

Local vega index and variance reduction methods

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10001765651

Welfare Effects of Controlling Labor Supply : An Application of the Stochastic Ramsey Model

Amilon, Henrik; Bermin, Hans-Peter - 2002

In this paper we extend Merton's (1975) classic stochastic version of the Ramsey model by allowing the government to control the expected growth rate of the labor supply. We characterize the solution to this control problem for general time-separable preferences, and derive an analytical...

Persistent link: https://www.econbiz.de/10014120170