Pages that link to "Item:Q1413332"

The following pages link to Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332):

Displaying 50 items.

• Investment under uncertainty, competition and regulation (Q258740) (← links)
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083) (← links)
• Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
• Pseudo linear pricing rule for utility indifference valuation (Q457184) (← links)
• Convex duality in optimal investment under illiquidity (Q484140) (← links)
• Indifference valuation in incomplete binomial models (Q613732) (← links)
• A note on utility maximization with unbounded random endowment (Q633829) (← links)
• Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589) (← links)
• A law of large numbers approach to valuation in life insurance (Q865608) (← links)
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
• Convergence of utility indifference prices to the superreplication price: the whole real line case (Q996718) (← links)
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) (← links)
• Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) (Q1408118) (← links)
• Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions (Q1621616) (← links)
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (Q1711728) (← links)
• The risk transfer of non-tradable risks under model uncertainty (Q1757937) (← links)
• Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
• A note on utility based pricing and asymptotic risk diversification (Q1938975) (← links)
• Simplified mean-variance portfolio optimisation (Q1938980) (← links)
• Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
• A model-point approach to indifference pricing of life insurance portfolios with dependent lives (Q2282726) (← links)
• A note on utility-based pricing (Q2351402) (← links)
• Indifference pricing for CRRA utilities (Q2392015) (← links)
• Indifference pricing and hedging in a multiple-priors model with trading constraints (Q2515302) (← links)
• A one-factor conditionally linear commodity pricing model under partial information (Q2515786) (← links)
• Dynamic exponential utility indifference valuation (Q2572403) (← links)
• The minimal entropy measure and an Esscher transform in an incomplete market model (Q2643378) (← links)
• Economic neutral position: how to best replicate not fully replicable liabilities? (Q2656988) (← links)
• A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (Q2796752) (← links)
• INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (Q3008484) (← links)
• ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION (Q3067765) (← links)
• Utility Maximization with Proportional Transaction Costs Under Model Uncertainty (Q3387921) (← links)
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (Q3502167) (← links)
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (Q3608738) (← links)
• Pricing jump risk with utility indifference (Q3623407) (← links)
• INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS (Q4635044) (← links)
• Forward Exponential Indifference Valuation in an Incomplete Binomial Model (Q4976504) (← links)
• Relative Hedging of Systematic Mortality Risk (Q5029058) (← links)
• Solution of the HJB Equations Involved in Utility-Based Pricing (Q5038268) (← links)
• Indifference pricing of pure endowments via BSDEs under partial information (Q5140641) (← links)
• Explicit Representations for Utility Indifference Prices (Q5165000) (← links)
• Utility valuation of multi-name credit derivatives and application to CDOs (Q5190134) (← links)
• PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS (Q5283402) (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH (Q5324400) (← links)
• Entropic Conditions and Hedging (Q5429599) (← links)
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (Q5488979) (← links)
• Optimal Portfolio in a Regime-switching Model (Q5746536) (← links)
• Utility indifference pricing of derivatives written on industrial loss indices (Q5964595) (← links)
• A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Q6152711) (← links)