| Publication | Date of Publication | Type |
|---|
Stochastic production planning with regime switching
Journal of Industrial and Management Optimization | 2022-11-14 | Paper |
A stochastic production planning problem
(available as arXiv preprint) | 2022-10-25 | Paper |
| A stochastic production planning problem | 2022-10-25 | Paper |
Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
European Actuarial Journal | 2022-07-27 | Paper |
An extension of the Clark–Haussmann formula and applications
Stochastics | 2022-07-08 | Paper |
A stochastic control problem with regime switching
Carpathian Journal of Mathematics | 2021-12-15 | Paper |
| The funds market bank problem | 2021-11-02 | Paper |
| A mathematical model and the optimal strategy in the transactions between one bank and the Central Bank | 2020-10-13 | Paper |
Stochastic production planning with regime switching
(available as arXiv preprint) | 2020-02-22 | Paper |
An elliptic partial differential equation and its application
Applied Mathematics Letters | 2019-11-21 | Paper |
Optimal sharing rule for a household with a portfolio management problem
Mathematical Social Sciences | 2019-11-08 | Paper |
| An elliptic partial differential equations system and its application | 2019-07-31 | Paper |
A multiperiod equilibrium pricing model
Journal of Applied Mathematics | 2019-02-01 | Paper |
Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Equilibrium pricing in incomplete markets under translation invariant preferences
Mathematics of Operations Research | 2016-04-15 | Paper |
An application of the double Skorokhod formula
Springer Proceedings in Mathematics & Statistics | 2016-01-11 | Paper |
Investment-consumption with regime-switching discount rates
Mathematical Social Sciences | 2014-10-08 | Paper |
Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Multi-stock portfolio optimization under prospect theory
Mathematics and Financial Economics | 2013-02-26 | Paper |
Time-consistent portfolio management
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
On securitization, market completion and equilibrium risk transfer
Mathematics and Financial Economics | 2013-01-20 | Paper |
Time consistent utility maximization
(available as arXiv preprint) | 2011-11-25 | Paper |
| CRRA Utility Maximization under Risk Constraints | 2011-06-09 | Paper |
Investment and consumption without commitment
Mathematics and Financial Economics | 2009-09-18 | Paper |
MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
Mathematical Finance | 2009-08-28 | Paper |
| scientific article; zbMATH DE number 5589677 (Why is no real title available?) | 2009-08-03 | Paper |
Portfolio optimization under the Value-at-Risk constraint
Quantitative Finance | 2007-07-23 | Paper |
