| 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 |
| 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 |
| A first-order BSPDE for swing option pricing : classical solutions
|
2017 |
Bender, Christian |
| Density of Skew Brownian motion and its functionals with application in finance
|
2017 |
Gairat, Alexander |
| Local variance gamma and explicit calibration to option prices
|
2017 |
Carr, Peter |
| On the martingale property in stochastic volatility models based on time-homogeneous diffusions
|
2017 |
Bernard, Carole |
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