Entity usage

This page lists pages that use the given entity (e.g. Q42). The list is sorted by descending page ID, so that newer pages are listed first.

Showing below up to 50 results in range #1 to #50.

Faking Brownian motion with continuous Markov martingales: Label: en
A càdlàg rough path foundation for robust finance: Label: en
Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting: Label: en
Optimal investment and consumption for financial markets with jumps under transaction costs: Label: en
Pricing options on flow forwards by neural networks in a Hilbert space: Label: en
Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle: Label: en
Arbitrage problems with reflected geometric Brownian motion: Label: en
Fundamental theorem of asset pricing with acceptable risk in markets with frictions: Label: en
Continuous-time incentives in hierarchies: Label: en
Rogue traders: Label: en
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model: Label: en
Optimal investment in a large population of competitive and heterogeneous agents: Label: en
Optimal reinsurance via BSDEs in a partially observable model with jump clusters: Label: en
Optimal consumption and investment with welfare constraints: Label: en
A framework for measures of risk under uncertainty: Label: en
Existence of an equilibrium with limited participation: Label: en
Hedging with physical or cash settlement under transient multiplicative price impact: Label: en
A general approach for Parisian stopping times under Markov processes: Label: en
Optimal execution with multiplicative price impact and incomplete information on the return: Label: en
Contagious McKean-Vlasov systems with heterogeneous impact and exposure: Label: en
Obituary: Tomas Björk. Thank you, Tomas!: Label: en
Asset pricing with dynamically inconsistent agents: Label: en
Robust utility maximisation with intractable claims: Label: en
Present-biased lobbyists in linear-quadratic stochastic differential games: Label: en
Discount models: Label: en
A stochastic control perspective on term structure models with roll-over risk: Label: en
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments: Label: en
In memoriam: Tomas Björk (1947--2021). On his career and beyond: Label: en
Editorial: Special issue in memory of Tomas Björk: Label: en
Hybrid scheme for Brownian semistationary processes: Label: en
Nonparametric estimation for stochastic volatility models: Label: en
A continuous-time model of self-protection: Label: en
Optimal insurance under maxmin expected utility: Label: en
Optional projection under equivalent local martingale measures: Label: en
Market-to-book ratio in stochastic portfolio theory: Label: en
Optimal dividends under a drawdown constraint and a curious square-root rule: Label: en
Price impact in Nash equilibria: Label: en
Entropy martingale optimal transport and nonlinear pricing-hedging duality: Label: en
Semimartingale price systems in models with transaction costs beyond efficient friction: Label: en
Bubbles in discrete-time models: Label: en
On ruin probabilities with investments in a risky asset with a regime-switching price: Label: en
A concept of copula robustness and its applications in quantitative risk management: Label: en
Jacobi stochastic volatility factor for the LIBOR market model: Label: en
The characteristic function of Gaussian stochastic volatility models: an analytic expression: Label: en
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation: Label: en
Taylor approximation of incomplete Radner equilibrium models: Label: en
Addendum to: ``Multilevel dual approach for pricing American style derivatives: Label: en
Hedge and mutual funds' fees and the separation of private investments: Label: en
Forward equations for option prices in semimartingale models: Label: en
On a Heath-Jarrow-Morton approach for stock options: Label: en