Problems of Mathematical Finance by Stochastic Control Methods
From MaRDI portal
Publication:3557801
DOI10.1007/978-3-642-04802-9_6zbMath1185.91197OpenAlexW1560870770MaRDI QIDQ3557801
Publication date: 23 April 2010
Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-04802-9_6
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Cites Work
- Martingale methods in financial modelling.
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
- A super-replication theorem in Kabanov's model of transaction costs
- Maximization of the portfolio growth rate under fixed and proportional transaction costs
- Risk-sensitive dynamic asset management
- A general version of the fundamental theorem of asset pricing
- Optional decomposition and Lagrange multipliers
- A large deviations approach to optimal long term investment
- On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
- Liquidity risk and arbitrage pricing theory
- Quantile hedging
- Risk sensitive portfolio optimization
- A benchmark approach to quantitative finance
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Lectures on the Mathematics of Finance
- Backward Stochastic Differential Equations in Finance
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Option pricing: A simplified approach
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Tail Conditional Expectations for Elliptical Distributions
- Stochastic finance. An introduction in discrete time
- Credit risk: Modelling, valuation and hedging
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
