Pages that link to "Item:Q4548067"
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The following pages link to On the Existence of Minimax Martingale Measures (Q4548067):
Displayed 28 items.
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
- Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
- Characterisation of optimal dual measures via distortion (Q882491) (← links)
- Utility maximization under a shortfall risk constraint (Q952687) (← links)
- An analytical characterization for an optimal change of Gaussian measures (Q955485) (← links)
- Stochastic control methods: Hedging in a market described by pure jump processes (Q983684) (← links)
- Market free lunch and large financial markets (Q997417) (← links)
- Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure (Q1016619) (← links)
- A dual characterization of self-generation and exponential forward performances (Q1049561) (← links)
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) (Q1408118) (← links)
- On the super replication price of unbounded claims (Q1769420) (← links)
- Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3370586) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- Exponential Hedging and Entropic Penalties (Q4551807) (← links)
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper (Q4551808) (← links)
- SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS (Q4673846) (← links)
- On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744) (← links)
- RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS (Q5305594) (← links)
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
- PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH (Q5324400) (← links)
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE (Q5472774) (← links)
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (Q5484637) (← links)
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638) (← links)
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (Q5692939) (← links)