Optimal Portfolio in a Regime-switching Model (Q5746536): Difference between revisions

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-Tiziano Vargiolu
@@ Property / author: Tiziano Vargiolu / rank @@
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+Tiziano Vargiolu
@@ Property / author: Tiziano Vargiolu / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-0348-0545-2_22
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@@ Property / OpenAlex ID @@
+W275374818
@@ Property / OpenAlex ID: W275374818 / rank @@
+Normal rank
@@ Property / cites work @@
+Option-based risk management of a bond portfolio under regime switching interest rates
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@@ Property / cites work @@
+Rational hedging and valuation of integrated risks under constant absolute risk aversion.
+Normal rank
@@ Property / cites work @@
+Utility–indifference hedging and valuation via reaction–diffusion systems
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@@ Property / cites work @@
+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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@@ Property / cites work @@
+PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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@@ Property / cites work @@
+The Evaluation of Gas Swing Contracts with Regime Switching
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Information and option pricings
@@ Property / cites work: Information and option pricings / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of Volatility Models and Their Applications
+Normal rank
@@ Property / cites work @@
+Q3613975
@@ Property / cites work: Q3613975 / rank @@
+Normal rank
@@ Property / cites work @@
+NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
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@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+In which financial markets do mutual fund theorems hold true?
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@@ Property / cites work @@
+Q5297394
@@ Property / cites work: Q5297394 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:5746536