Works matching IS 09492984 AND DT 2011 AND VI 15 AND IP 3
Results: 7
Multivariate utility maximization with proportional transaction costs.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 3, p. 461, doi. 10.1007/s00780-010-0125-9
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- Article
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 501, doi. 10.1007/s00780-010-0128-6
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- Article
Pricing equity default swaps under the jump-to-default extended CEV model.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 513, doi. 10.1007/s00780-010-0139-3
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- Article
Hedging of a credit default swaption in the CIR default intensity model.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 541, doi. 10.1007/s00780-010-0143-7
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- Article
A stochastic control problem with delay arising in a pension fund model.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 421, doi. 10.1007/s00780-010-0146-4
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- Article
Robust pricing and hedging of double no-touch options.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 573, doi. 10.1007/s00780-011-0154-z
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- Article
Liquidity risk, price impacts and the replication problem.
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- Finance & Stochastics, 2011, v. 15, n. 3, p. 399, doi. 10.1007/s00780-011-0156-x
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- Article