Pages that link to "Item:Q4763538"
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The following pages link to Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (Q4763538):
Displayed 50 items.
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. (Q1872428) (← links)
- A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
- Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) (← links)
- A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. (Q1879481) (← links)
- Conservative delta hedging. (Q1884835) (← links)
- Approximation pricing and the variance-optimal martingale measure (Q1922074) (← links)
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) (Q1944854) (← links)
- Dual formulation of second order target problems (Q1948690) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Conditional dominance criteria: Definition and application to risk-management (Q1974031) (← links)
- Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597) (← links)
- Indifference pricing of insurance-linked securities in a multi-period model (Q2029066) (← links)
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations (Q2034828) (← links)
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Q2038277) (← links)
- Duality theory for robust utility maximisation (Q2049550) (← links)
- A quasi-sure optional decomposition and super-hedging result on the Skorokhod space (Q2049551) (← links)
- Asset price bubbles in markets with transaction costs (Q2085833) (← links)
- Duality for optimal consumption under no unbounded profit with bounded risk (Q2094575) (← links)
- Explicit solutions for a class of nonlinear BSDEs and their nodal sets (Q2096192) (← links)
- On the risk management of demand deposits: quadratic hedging of interest rate margins (Q2151679) (← links)
- A numerical method for hedging Bermudan options under model uncertainty (Q2152245) (← links)
- Quenched mass transport of particles toward a target (Q2194119) (← links)
- Backward stochastic partial differential equations related to utility maximization and hedging (Q2255961) (← links)
- Event risk, contingent claims and the temporal resolution of uncertainty (Q2257042) (← links)
- Pricing under dynamic risk measures (Q2278417) (← links)
- Pathwise superhedging on prediction sets (Q2282966) (← links)
- The PDEs and numerical scheme for derivatives under uncertainty volatility (Q2298029) (← links)
- Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity (Q2300963) (← links)
- Bank monitoring incentives under moral hazard and adverse selection (Q2302840) (← links)
- Terminal-dependent statistical inference for the integral form of FBSDE (Q2312276) (← links)
- Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
- Arbitrage and duality in nondominated discrete-time models (Q2341632) (← links)
- Endogenous collateral (Q2387402) (← links)
- Hedging under generalized good-deal bounds and model uncertainty (Q2408899) (← links)
- Minimal supersolutions of convex BSDEs (Q2434909) (← links)
- Stochastic target games with controlled loss (Q2454400) (← links)
- On convergence to the exponential utility problem (Q2464849) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- A comonotonic theorem for BSDEs (Q2485815) (← links)
- Static arbitrage bounds on basket option prices (Q2492673) (← links)
- Minimax pricing and Choquet pricing (Q2499830) (← links)
- Asymptotic option price with bounded expected loss (Q2510032) (← links)
- Optimal hedging when the underlying asset follows a regime-switching Markov process (Q2514833) (← links)
- Asset allocation strategies in the presence of liability constraints (Q2520460) (← links)
- Dynamic exponential utility indifference valuation (Q2572403) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- Super-replication and utility maximization in large financial markets (Q2575816) (← links)