scientific article; zbMATH DE number 17495
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- Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
- Exponential stock models driven by tempered stable processes
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- Asymptotically optimal discretization of hedging strategies with jumps
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- Explicit solutions of some utility maximization problems in incomplete markets
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- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- A regression-based Monte Carlo method to solve backward stochastic differential equations
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- Diversified portfolios with jumps in a benchmark framework
- A benchmark approach to filtering in finance
- Shot-noise processes and the minimal martingale measure
- The minimal entropy measure and an Esscher transform in an incomplete market model
- Option pricing with regime switching by trinomial tree method
- Economic neutral position: how to best replicate not fully replicable liabilities?
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- Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Equilibrium pricing in incomplete markets under translation invariant preferences
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