scientific article; zbMATH DE number 5263208

MaRDI QIDQ5457450zbMATHFDO

Authors Mark H. A. Davis

Publication date 14 April 2008

zbMATH Keywords

dynamic programmingdualityincomplete marketstochastic controlparameter uncertaintyoptimal investmentutility indifference pricingunhedgeable risk

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20)

Recommendations

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Cited in

(10)

• Optimal investment and contingent claim valuation in illiquid markets
• Implications of parameter uncertainty on option prices
• Valuing risky income streams in incomplete markets
• Partially informed investors: hedging in an incomplete market with default
• Maximizing survival, growth and goal reaching under borrowing constraints
• Investment and financing in incomplete markets
• Tractable valuations under uncertainty
• A solution approach to valuation with unhedgeable risks
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Optimal Hedging and Valuation of Nontraded Assets

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