Optimal risk control under marked point processes shocks : a dynamic programming duality approach

von Mnif, Mohamed
Veröffentlicht in International journal of theoretical and applied finance (2013)

Optimal multiple stopping and valuation of swing options in Lévy models

von Bouzguenda Zeghal, Amina
Veröffentlicht in International journal of theoretical and applied finance (2006)

Optimal stochastic control problem under model uncertainty with nonentropy penalty

von Faidi, Wahid
Veröffentlicht in International journal of theoretical and applied finance (2017)

Numerical methods for an optimal order execution problem

von Guilbaud, Fabien
Veröffentlicht in The journal of computational finance (2013)

A model of optimal portfolio selection under liquidity risk and price impact

von Vath, Vathana Ly
Veröffentlicht in Finance and stochastics (2007)

Path-dependent American options

von Chevalier, Etienne
Veröffentlicht in The journal of computational finance (2019)