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OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS.
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- Stochastics & Dynamics, 2011, v. 11, n. 2/3, p. 283, doi. 10.1142/S0219493711003280
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- Article
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences.
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- Mathematics of Operations Research, 2016, v. 41, n. 1, p. 174, doi. 10.1287/moor.2015.0721
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- Article
Pricing and Hedging American-Style Options with Deep Learning.
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- Journal of Risk & Financial Management, 2020, v. 13, n. 7, p. 1, doi. 10.3390/jrfm13070158
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- Article
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs.
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- Communications on Pure & Applied Mathematics, 2007, v. 60, n. 7, p. 1081, doi. 10.1002/cpa.20168
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- Article
A NOTE ON THE DAI–SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS.
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- Mathematical Finance, 2010, v. 20, n. 3, p. 509, doi. 10.1111/j.1467-9965.2010.00408.x
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- Article
RISK MEASURES ON ORLICZ HEARTS.
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- Mathematical Finance, 2009, v. 19, n. 2, p. 189, doi. 10.1111/j.1467-9965.2009.00364.x
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- Article
Martingale optimal transport duality.
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- Mathematische Annalen, 2021, v. 379, n. 3/4, p. 1685, doi. 10.1007/s00208-019-01952-y
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- Article
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 1, p. 137, doi. 10.1142/S0219024911006292
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- Article
Assessing Asset-Liability Risk with Neural Networks.
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- Risks, 2020, v. 8, n. 1, p. 16, doi. 10.3390/risks8010016
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- Article
Measuring and Allocating Systemic Risk.
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- Risks, 2019, v. 7, n. 2, p. 46, doi. 10.3390/risks7020046
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- Article
Deep Optimal Stopping.
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- Journal of Machine Learning Research, 2019, v. 20, n. 57-84, p. 1
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- Article
Landscape Analysis for Shallow Neural Networks: Complete Classification of Critical Points for Affine Target Functions.
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- Journal of Nonlinear Science, 2022, v. 32, n. 5, p. 1, doi. 10.1007/s00332-022-09823-8
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- Article
Pricing and Hedging American-Style Options with Deep Learning.
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- Actuators, 2020, v. 9, n. 2, p. 158, doi. 10.3390/jrfm13070158
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- Article
Solving high-dimensional optimal stopping problems using deep learning.
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- European Journal of Applied Mathematics, 2021, v. 32, n. 3, p. 470, doi. 10.1017/S0956792521000073
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- Article
Coherent and convex monetary risk measures for unbounded càdlàg processes.
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- 2006
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- Correction notice
Utility maximization under increasing risk aversion in one-period models.
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- Finance & Stochastics, 2006, v. 10, n. 1, p. 147, doi. 10.1007/s00780-005-0164-9
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- Article
Coherent and convex monetary risk measures for unbounded cádlág processes.
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- Finance & Stochastics, 2005, v. 9, n. 3, p. 369, doi. 10.1007/s00780-004-0150-7
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- Article
Arbitrage in fractional Brownian motion models.
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- Finance & Stochastics, 2003, v. 7, n. 4, p. 533, doi. 10.1007/s007800300101
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- Article