Works matching IS 09601627 AND DT 2000 AND VI 10 AND IP 2

Results: 15

MULTIDIMENSIONAL VARIANCE-OPTIMAL HEDGING IN DISCRETE-TIME MODEL--A GENERAL APPROACH.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 243, doi. 10.1111/1467-9965.00092

By:

Motoczyński, M.

Publication type:

Article

RISK-SENSITIVE CONTROL AND AN OPTIMAL INVESTMENT MODEL.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 197, doi. 10.1111/1467-9965.00089

By:

Fleming, W. H.;
Sheu, S. J.

Publication type:

Article

VALUE PRESERVING STRATEGIES AND A GENERAL FRAMEWORK FOR LOCAL APPROACHES TO OPTIMAL PORTFOLIOS.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 227, doi. 10.1111/1467-9965.00091

By:

Korn, Ralf

Publication type:

Article

RISK MINIMIZATION WITH INCOMPLETE INFORMATION IN A MODEL FOR HIGH-FREQUENCY DATA.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 215, doi. 10.1111/1467-9965.00090

By:

Frey, Rüdiger

Publication type:

Article

ON LEVEL CURVES OF VALUE FUNCTIONS IN OPTIMIZATION MODELS OF EXPECTED UTILITY.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 323, doi. 10.1111/1467-9965.00097

By:

Cristian-Ioan Tiu;
Zariphopoulou, Thalela

Publication type:

Article

PORTFOLIO OPTIMIZATION AND MARTINGALE MEASURES.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 289, doi. 10.1111/1467-9965.00095

By:

Schäl, Manfred

Publication type:

Article

OPTION PRICING IN DISCRETE-TIME INCOMPLETE MARKET MODELS.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 305, doi. 10.1111/1467-9965.00096

By:

Stettner, Lukasz

Publication type:

Article

A STOCHASTIC CONTROL APPROACH TO RISK MANAGEMENT UNDER RESTRICTED INFORMATION.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 277, doi. 10.1111/1467-9965.00094

By:

Runggaldier, Wolfgang J.;
Zaccaria, Anna

Publication type:

Article

PRICING VIA UTILITY MAXIMIZATION AND ENTROPY.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 259, doi. 10.1111/1467-9965.00093

By:

Rouge, Richard;
Karoui, Nicole El

Publication type:

Article

ON MODELS OF DEFAULT RISK.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 179

By:

Yor, M.;
Elliott, R. J.;
Jeanblanc, M.

Publication type:

Article

PRICING AMERICAN OPTIONS FITTING THE SMILE.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 157, doi. 10.1111/1467-9965.00087

By:

Dempster, M. A. H.;
Richards, D. G.

Publication type:

Article

CLASSICAL AND IMPULSE STOCHASTIC CONTROL OF THE EXCHANGE RATE USING INTEREST RATES AND RESERVES.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 141

By:

Zapatero, Fernando;
Cadenillas, Abel

Publication type:

Article

MULTIPLE RATINGS MODEL OF DEFAULTABLE TERM STRUCTURE.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 125, doi. 10.1111/1467-9965.00085

By:

Bielecki, Tomasz R.;
Rutkowski, Marek

Publication type:

Article

MEAN-VARIANCE HEDGING FOR STOCHASTIC VOLATILITY MODELS.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 109

By:

Guasoni, Paolo;
Biagini, Francesca;
Pratelli, Maurizio

Publication type:

Article

ON THE PRICING OF CONTINGENT CLAIMS WITH FRICTIONS.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 89, doi. 10.1111/1467-9965.00083

By:

Bensoussan, A.;
Julien, H.

Publication type:

Article