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Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation
Naujokat, Felix - 2011
Persistent link: https://www.econbiz.de/10009552027
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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
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A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Hata, Hiroaki; Iida, Yasunari - In: Finance and stochastics 10 (2006) 3, pp. 395-426
Persistent link: https://www.econbiz.de/10003380023
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Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
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Optioned portfolio selection : models and analysis
Liang, Jianfeng; Zhang, Shuzhong; Li, Duan - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
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A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
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Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009
Persistent link: https://www.econbiz.de/10003827062
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The value of information in stochastic control and finance
Øksendal, Bernt K. - In: Australian economic papers 44 (2005) 4, pp. 352-364
Persistent link: https://www.econbiz.de/10003236998
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A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.; Zaccaria Ruggiu, Annapaola - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
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Optimal consumption and investment with bounded downside risk for power utility functions
Klüppelberg, Claudia; Pergamenchtchikov, Serguei - In: Optimality and risk - modern trends in mathematical …, (pp. 133-170). 2009
Persistent link: https://www.econbiz.de/10003948439