Optimal spot slides
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Cites work
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Bilateral gamma distributions and processes in financial mathematics
- Capital structure and risk acceptability
- Disciplined convex programming
- Exposure valuations and their capital requirements
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- Measuring and monitoring the efficiency of markets
- Monetary utility functions on \(C_b(X)\) spaces
- Nonlinear valuation and non-Gaussian risks in finance
- On well-structured convex–concave saddle point problems and variational inequalities with monotone operators
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment in derivative securities
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal positioning in derivative securities
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Stochastic finance. An introduction in discrete time
- The mathematics of arbitrage
- The Variance Gamma Process and Option Pricing
- Théorie de l'addition des variables aléatoires.
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