| Trading with small price impact
|
2017 |
Moreau, Ludovic |
| Optimal investment for all time horizons and Martin Boundary of space-time diffusions
|
2017 |
Nadtochiy, Sergey |
| Model uncertainty and scenario aggregation
|
2017 |
Cambou, Mathieu |
| No-arbitrage in a numéraire-independent modeling framework
|
2017 |
Herdegen, Martin |
| An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
|
2017 |
Dassios, Angelos |
| Portfolio optimization and stochastic volatility asymptotics
|
2017 |
Fouque, Jean-Pierre |
| Approximate hedging problem with transaction costs in stochastic volatility markets
|
2017 |
Thai Huu Nguyen |
| On arbitrage and duality under model uncertainty and portfolio constraints
|
2017 |
Bayraktar, Erhan |
| The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model
|
2017 |
Grasselli, Martino |
| Leveraged ETF implied volatilities from ETF dynamics
|
2017 |
Leung, Tim |
| Robust portfolios and weak incentives in long-run investments
|
2017 |
Guasoni, Paolo |
| The numéraire property and long-term growth optimality for drawdown-constrained investments
|
2017 |
Kardaras, Constantinos |
| Sensitivity analysis of nonlinear behavior with distorted probability
|
2017 |
Cao, Xi-Ren |
| Price setting of market makers : a filtering problem with endogenous filtration
|
2017 |
Kühn, Christoph |
| Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
|
2017 |
Cui, Xiangyu |
| Risk-minimization for life insurance liabilities with dependent mortality risk
|
2017 |
Biagini, Francesca |
| Shadow prices for continuous processes
|
2017 |
Czichowsky, Christoph |
| Pricing for large positions in contingent claims
|
2017 |
Robertson, Scott |
| Option pricing and hedging with execution costs and market impact
|
2017 |
Guéant, Olivier |
| A primal-dual algorithm for BSDES
|
2017 |
Bender, Christian |
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