Rodwell Kufakunesu

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
Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory Mathematical Control and Related Fields	2024-06-17	Paper
Optimal Investment-Consumption-Insurance with Partial Information and Correlation Between Assets Price and Factor Process	2023-04-24	Paper
On the sensitivity analysis of energy quanto options Stochastic Analysis and Applications	2022-10-28	Paper
Optimal investment-consumption and life insurance with capital constraints Communications in Statistics: Theory and Methods	2022-06-27	Paper
A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations Communications in Statistics: Theory and Methods	2022-05-30	Paper
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks Communications in Statistics: Theory and Methods	2022-05-23	Paper
Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model Japan Journal of Industrial and Applied Mathematics	2022-01-21	Paper
An ergodic BSDE risk representation in a jump-diffusion framework International Journal of Theoretical and Applied Finance	2021-08-24	Paper
On the multi-dimensional portfolio optimization with stochastic volatility Quaestiones Mathematicae	2019-10-15	Paper
Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach Optimization	2018-05-03	Paper
Optimal investment models with stochastic volatility: the time inhomogeneous case Quaestiones Mathematicae	2017-03-20	Paper
A note on optimal investment-consumption-insurance in a Lévy market Insurance Mathematics & Economics	2015-12-14	Paper
The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach Quaestiones Mathematicae	2013-11-19	Paper
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS International Journal of Theoretical and Applied Finance	2009-08-10	Paper
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model Applied Mathematical Finance	2008-04-29	Paper

Research outcomes over time

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