TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (Q5411393): Difference between revisions

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+Antoon Pelsser
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+MaRDI publication profile
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+W3121334078
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+.1749
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+Coherent Measures of Risk
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+Backward stochastic differential equations and integral-partial differential equations
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+Inf-convolution of risk measures and optimal risk transfer
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+Dynamic risk measures: Time consistency and risk measures from BMO martingales
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+Time consistent dynamic risk processes
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+Towards a General Theory of Good-Deal Bounds*
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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+Dynamic monetary risk measures for bounded discrete-time processes
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+Recursiveness of indifference prices and translation-invariant preferences
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+COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
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+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Filtration-consistent nonlinear expectations and related \(g\)-expectations
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+Convex duality in constrained portfolio optimization
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+A general version of the fundamental theorem of asset pricing
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+The variance-optimal martingale measure for continuous processes
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+On convex principles of premium calculation
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+Stochastic Differential Utility
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+Backward Stochastic Differential Equations in Finance
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+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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+EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
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+Convex measures of risk and trading constraints
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+On the Starting and Stopping Problem: Application in Reversible Investments
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+The Iterated Cte
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+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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+STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE
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+Risk-neutral compatibility with option prices
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+VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
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+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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+Continuous exponential martingales and BMO
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+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
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+From the equivalence principle to market consistent valuation
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+A Generalized Stochastic Differential Utility
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+Dynamic variational preferences
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+The valuation of structured products using Markov chain models
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+Market Consistent Pricing of Insurance Products
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+Characterisation of optimal dual measures via distortion
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+A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
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+An example of indifference prices under exponential preferences
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+A valuation algorithm for indifference prices in incomplete markets
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+Filtration consistent nonlinear expectations and evaluations of contingent claims
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+Valuation of power plants by utility indifference and numerical computation
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+Dynamic coherent risk measures
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+COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
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+Risk measures via \(g\)-expectations
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+Backward stochastic differential equations with jumps and related nonlinear expectations
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+Conditional Risk Mappings
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+On the minimal martingale measure and the möllmer-schweizer decomposition
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+Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
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+A Framework for Dynamic Hedging under Convex Risk Measures
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+Market-Consistent Actuarial Valuation
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+Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
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