BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs (Q3178727): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / arXiv ID
 
Property / arXiv ID: 1410.0449 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation and Hedging of Contracts with Funding Costs and Collateralization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations Driven By Càdlàg Martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: GKW representation theorem under restricted information: An application to risk-minimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs under partial information and financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3332908 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4357500 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4274285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4039796 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous exponential martingales and BMO / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sur l'int�grabilit� uniforme des martingales exponentielles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic exponential utility indifference valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A semimartingale BSDE related to the minimal entropy martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709768 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4459182 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic PDE and Imperfect Hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow / rank
 
Normal rank
Property / cites work
 
Property / cites work: 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: A BSDE approach to fair bilateral pricing under endogenous collateralization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic interpretation for systems of quasilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solvability of backward stochastic differential equations with quadratic growth / rank
 
Normal rank

Latest revision as of 03:12, 13 July 2024

scientific article
Language Label Description Also known as
English
BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
scientific article

    Statements

    BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs (English)
    0 references
    0 references
    0 references
    7 December 2016
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    BSDE
    0 references
    comparison theorem
    0 references
    arbitrage pricing
    0 references
    funding costs
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references