Works matching IS 09601627 AND DT 2017 AND VI 27 AND IP 3

Results: 11

Issue Information.

Published in:: Mathematical Finance, 2017, v. 27, n. 3, p. 621, doi. 10.1111/mafi.12132
Publication type:: Article

A PRIMAL-DUAL ALGORITHM FOR BSDES.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 866, doi. 10.1111/mafi.12100

By:

Bender, Christian;
Schweizer, Nikolaus;
Zhuo, Jia

Publication type:

Article

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 803, doi. 10.1111/mafi.12102

By:

Guéant, Olivier;
Pu, Jiang

Publication type:

Article

SHADOW PRICES FOR CONTINUOUS PROCESSES.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 623, doi. 10.1111/mafi.12103

By:

Czichowsky, Christoph;
Schachermayer, Walter;
Yang, Junjian

Publication type:

Article

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 926, doi. 10.1111/mafi.12105

By:

Lorig, Matthew;
Pagliarani, Stefano;
Pascucci, Andrea

Publication type:

Article

THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 659, doi. 10.1111/mafi.12106

By:

Kallsen, Jan;
Muhle‐Karbe, Johannes

Publication type:

Article

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 746, doi. 10.1111/mafi.12107

By:

Robertson, Scott

Publication type:

Article

A STATE-CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 779, doi. 10.1111/mafi.12108

By:

Schied, Alexander;
Zhang, Tao

Publication type:

Article

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 704, doi. 10.1111/mafi.12109

By:

Fouque, Jean‐Pierre;
Sircar, Ronnie;
Zariphopoulou, Thaleia

Publication type:

Article

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 832, doi. 10.1111/mafi.12094

By:

Nguyen, Thai Huu;
Pergamenshchikov, Serguei

Publication type:

Article

A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS.

Published in:

Mathematical Finance, 2017, v. 27, n. 3, p. 902, doi. 10.1111/mafi.12096

By:

Bender, Christian;
Dokuchaev, Nikolai

Publication type:

Article