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Optimal execution of a VWAP order : a stochastic control approach
Frei, Christoph; Westray, Nicholas - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 612-639
Persistent link: https://www.econbiz.de/10011350559
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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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A first-order BSPDE for swing option pricing
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
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Liquidation in limit order books with controlled intensity
Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
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Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 401-437
Persistent link: https://www.econbiz.de/10011752503
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A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
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Calibrating a diffusion pricing model with uncertain volatility: regularization and stability
Samperi, Dominick - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10001686213
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Classical and impulse stochastic control of the exchange rate using interest rates and reserves
Cadenillas, Abel; Zapatero, Fernando - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 141-156
Persistent link: https://www.econbiz.de/10002177370
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Risk-sensitive control and an optimal investment model
Fleming, Wendell Helms; Sheu, S. J. - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 197-213
Persistent link: https://www.econbiz.de/10002177557