Michael Monoyios

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Stability of the Epstein-Zin problem Mathematical Finance	2024-11-20	Paper
Duality for optimal consumption with randomly terminating income Mathematical Finance	2023-09-28	Paper
Duality for optimal consumption under no unbounded profit with bounded risk The Annals of Applied Probability	2022-10-31	Paper
Executive stock option exercise with full and partial information on a drift change point SIAM Journal on Financial Mathematics	2021-01-15	Paper
Performance of utility-based strategies for hedging basis risk Quantitative Finance	2019-01-15	Paper
Malliavin calculus method for asymptotic expansion of dual control problems SIAM Journal on Financial Mathematics	2014-01-23	Paper
Utility-based valuation and hedging of basis risk with partial information Applied Mathematical Finance	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 Journal of Economic Dynamics and Control	2008-10-24	Paper
Optimal hedging and parameter uncertainty IMA Journal of Management Mathematics	2007-12-18	Paper
The minimal entropy measure and an Esscher transform in an incomplete market model Statistics & Probability Letters	2007-08-23	Paper
Characterisation of optimal dual measures via distortion Decisions in Economics and Finance	2007-05-24	Paper

Research outcomes over time

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