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On one-dimensional stochastic control problems : applications to investment models
Josa-Fombellida, Ricado; Rincón-Zapatero, Juan Pablo - 2008
Persistent link: https://www.econbiz.de/10003970305
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields : continuation of … 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011
Persistent link: https://www.econbiz.de/10008991293
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Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
He, Lin; Liang, Zongxia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 643-649
Persistent link: https://www.econbiz.de/10010227913
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Dynamic pairs trading using the stochastic control approach
Tourin, Agnès; Yan, Raphael - In: Journal of economic dynamics & control 37 (2013) 10, pp. 1972-1981
Persistent link: https://www.econbiz.de/10010196951
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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
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Optimal asset allocation and stochastic correlations
Weisheit, Stefan - 2014
Persistent link: https://www.econbiz.de/10010425797
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Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
Bäuerle, Nicole; Blatter, Anja - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 398-405
Persistent link: https://www.econbiz.de/10008989286
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Pricing, implementation and calibration of credit derivatives in incomplete market
Houssou, Régis - 2011
After the financial crisis of 2UU8. it is observed that tlie liquidity of many credit derivatives has dried up. The existence of illiquid credit derivatives that can not be perfectly hedged means that the market is incomplete. Therefore. the classical risk-neutral approach to valuing the credit...
Persistent link: https://www.econbiz.de/10009523460