Works matching IS 09601627 AND DT 2020 AND VI 30 AND IP 1

Results: 11

Option pricing with orthogonal polynomial expansions.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 47, doi. 10.1111/mafi.12226

By:

Ackerer, Damien;
Filipović, Damir

Publication type:

Article

Robust martingale selection problem and its connections to the no‐arbitrage theory.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 260, doi. 10.1111/mafi.12225

By:

Burzoni, Matteo;
Šikić, Mario

Publication type:

Article

General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 310, doi. 10.1111/mafi.12224

By:

Huang, Yu‐Jui;
Nguyen‐Huu, Adrien;
Zhou, Xun Yu

Publication type:

Article

Optimal dividend policies with random profitability.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 228, doi. 10.1111/mafi.12223

By:

Reppen, A. Max;
Rochet, Jean‐Charles;
Soner, H. Mete

Publication type:

Article

Inference for large financial systems.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 3, doi. 10.1111/mafi.12222

By:

Giesecke, Kay;
Schwenkler, Gustavo;
Sirignano, Justin A.

Publication type:

Article

Double continuation regions for American and Swing options with negative discount rate in Lévy models.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 196, doi. 10.1111/mafi.12218

By:

De Donno, Marzia;
Palmowski, Zbigniew;
Tumilewicz, Joanna

Publication type:

Article

Issue Information.

Published in:: Mathematical Finance, 2020, v. 30, n. 1, p. 1, doi. 10.1111/mafi.12213
Publication type:: Article

Multiple curve Lévy forward price model allowing for negative interest rates.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 167, doi. 10.1111/mafi.12210

By:

Eberlein, Ernst;
Gerhart, Christoph;
Grbac, Zorana

Publication type:

Article

Convex duality and Orlicz spaces in expected utility maximization.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 85, doi. 10.1111/mafi.12209

By:

Biagini, Sara;
Černý, Aleš

Publication type:

Article

Existence, uniqueness, and stability of optimal payoffs of eligible assets.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 128, doi. 10.1111/mafi.12205

By:

Baes, Michel;
Koch‐Medina, Pablo;
Munari, Cosimo

Publication type:

Article

Computational aspects of robust optimized certainty equivalents and option pricing.

Published in:

Mathematical Finance, 2020, v. 30, n. 1, p. 287, doi. 10.1111/mafi.12203

By:

Bartl, Daniel;
Drapeau, Samuel;
Tangpi, Ludovic

Publication type:

Article