scientific article

From MaRDI portal
Publication:3613975

zbMath1158.91379MaRDI QIDQ3613975

Vicky Henderson, David G. Hobson

Publication date: 16 March 2009


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (60)

Solution of the HJB Equations Involved in Utility-Based PricingConstruction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve ModelingUtility indifference valuation for non-smooth payoffs with an application to power derivativesCertainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimizationValuation of power plants by utility indifference and numerical computationTime (in)consistency and real options: much ado about nothing?Ramsey rule with forward/backward utility for long-term yield curves modelingINSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACHIndifference pricing for CRRA utilitiesEqual risk pricing under convex trading constraintsDISAPPOINTMENT AVERSION PREMIUM PRINCIPLEEconomic neutral position: how to best replicate not fully replicable liabilities?A McKean-Vlasov game of commodity production, consumption and tradingRisk measure pricing and hedging in the presence of transaction costsFair valuation of insurance liabilities: merging actuarial judgement and market-consistencyAsymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraireIndifference valuation in incomplete binomial modelsUtility indifference valuation of corporate bond with rating migration riskRecursiveness of indifference prices and translation-invariant preferencesDistributionally robust portfolio maximization and marginal utility pricing in one period financial marketsDYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURESSimplified mean-variance portfolio optimisationA numerical study of the utility-indifference approach for pricing American optionsTime-consistent actuarial valuationsExponential utility indifference valuation in two Brownian settings with stochastic correlationExpected Utility Maximization for Exponential Lévy Models with Option and Information ProcessesA call on art investmentsUtility-based indifference pricing in regime-switching modelsAn ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behaviorOption pricing under a gamma-modulated diffusion processPseudo linear pricing rule for utility indifference valuationIndifference pricing under SAHARA utilityA revised option pricing formula with the underlying being banned from short sellingLarge traders and illiquid options: hedging vs. manipulationContinuous-time mean-variance portfolio selection with liability and regime switchingContinuous-time portfolio selection with liability: mean-variance model and stochastic LQ approachIndifference pricing of pure endowments via BSDEs under partial informationRisk measure pricing and hedging in incomplete marketsIndifference pricing of pure endowments and life annuities under stochastic hazard and interest ratesHorizon-unbiased utility functionsA stochastic model with interacting managerial operating options and debt reschedulingOn dynamic programming equations for utility indifference pricing under delta constraintsEvent risk, contingent claims and the temporal resolution of uncertaintyDO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?Optimal Portfolio in a Regime-switching ModelUtility indifference pricing and hedging for structured contracts in energy marketsA Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty RiskA class of stochastic Fredholm-algebraic equations and applications in financePricing and hedging in incomplete markets with model uncertaintyEquilibrium Pricing in Incomplete Markets Under Translation Invariant PreferencesUtility indifference pricing of derivatives written on industrial loss indicesOptimal investment with derivatives and pricing in an incomplete marketDynamic valuation of options on non-traded assets and trading strategiesA NOTE ON UTILITY INDIFFERENCE PRICINGOptimal Consumption and Sale Strategies for a Risk Averse AgentA variation of Merton's corporate bond valuation model for firms with illiquid but observable assetsA Fourier Cosine Method for an Efficient Computation of Solutions to BSDEsTHE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISKBond indifference pricesVALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH




This page was built for publication: