| 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 |
| Stability of the exponential utility maximization problem with respect to preferences
|
2017 |
Xing, Hao |
| Optimal investment with intermediate consumption and random endowment
|
2017 |
Mostovyi, Oleksii |
| Real options with competition and regime switching
|
2017 |
Bensoussan, Alain |
| Tug-of-war, market manipulation, and option pricing
|
2017 |
Nyström, Kaj |
| Impact of time illiquidity in a mixed market without full observation
|
2017 |
Federico, Salvatore |
| A state-constrained differential game arising in optimal portfolio liquidation
|
2017 |
Schied, Alexander |
| Robust fundamental theorem for continuous processes
|
2017 |
Biagini, Sara |
| 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 |
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