Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
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- A degenerating family of quintic surfaces with trivial monodromy
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- Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Risk Aversion in the Small and in the Large
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
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- Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
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