Michael Monoyios

Available identifiers

Publication	Date of Publication	Type
Stability of the Epstein-Zin problem	2024-11-20	Paper
Duality for optimal consumption with randomly terminating income	2023-09-28	Paper
Duality for optimal consumption under no unbounded profit with bounded risk	2022-10-31	Paper
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point	2021-01-15	Paper
Performance of utility-based strategies for hedging basis risk	2019-01-15	Paper
Malliavin calculus method for asymptotic expansion of dual control problems	2014-01-23	Paper
Utility-based valuation and hedging of basis risk with partial information	2010-12-15	Paper
Optimal investment and hedging under partial and inside information	2010-01-13	Paper
Option pricing with transaction costs using a Markov chain approximation	2008-10-24	Paper
Optimal hedging and parameter uncertainty	2007-12-18	Paper
The minimal entropy measure and an Esscher transform in an incomplete market model	2007-08-23	Paper
Characterisation of optimal dual measures via distortion	2007-05-24	Paper

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