scientific article; zbMATH DE number 1548491
zbMATH Open0965.91020MaRDI QIDQ4522707FDOQ4522707
Publication date: 4 January 2001
Title of this publication is not available (Why is that?)
Recommendations
Monte Carlo methodspartial differential equationsportfolio optimizationfinite difference methodsBlack-Scholes formulamartingale methodtree methodsexotic optionsportfolio problempricing of optionsItô calculusstochastic control method
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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- Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
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- Itô's calculus and the derivation of the Black-Scholes option-pricing model
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- A note on the optimal portfolio problem in discrete processes
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- Mathematical models for financial optimization
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs
- Solving stochastic optimal control problems by a Wiener chaos approach
- Parameter estimation in stochastic differential equations
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
- Stochastic processes and financial mathematics. Translated from the German
- A comparison of lattice based option pricing models on the rate of convergence
- Optimal investment with deferred capital gains taxes
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