Portfolio optimization in a defaultable Lévy-driven market model (Q2516636): Difference between revisions

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+Option-based risk management of a bond portfolio under regime switching interest rates
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+The numeraire portfolio for unbounded semimartingale
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+Wealth optimization in an incomplete market driven by a jump-diffusion process
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+Stability of Merton's portfolio optimization problem for Lévy models
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+Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
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+Portfolio optimization with a defaultable security
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+An optimal portfolio problem in a defaultable market
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+A Discrete Time Benchmark Approach for Insurance and Finance
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+Optimal consumption problems in discontinuous markets
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+Portfolio optimization in a defaultable market under incomplete information
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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+No Arbitrage and the Growth Optimal Portfolio
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+Financial Modelling with Jump Processes
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+Hedging CDO Tranches in a Markovian Environment
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+Convex duality in constrained portfolio optimization
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+Diffusion-Based Models for Financial Markets Without Martingale Measures
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+Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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+Optimal portfolio for a small investor in a market model with discontinuous prices
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+Optimal portfolios for exponential Lévy processes.
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
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+Applied stochastic control of jump diffusions.
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+A BENCHMARK APPROACH TO FINANCE
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+Q4435813
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+Optimal Portfolio in a Regime-switching Model
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