The following pages link to Peter Bank (Q234253):
Displaying 43 items.
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
- (Q492161) (redirect page) (← links)
- The stochastic field of aggregate utilities and its saddle conjugate (Q492162) (← links)
- Hedging with temporary price impact (Q513749) (← links)
- The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
- Convex duality for stochastic singular control problems (Q525303) (← links)
- Parameter-dependent optimal stopping problems for one-dimensional diffusions (Q638359) (← links)
- A model for a large investor trading at market indifference prices. II: Continuous-time case. (Q748319) (← links)
- (Q1265768) (redirect page) (← links)
- Path dependent options on yields in the affine term structure model (Q1265769) (← links)
- The fundamental theorem of asset pricing for unbounded stochastic processes (Q1271229) (← links)
- Limit theorems for discretely observed stochastic volatility models (Q1275855) (← links)
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type (Q1291953) (← links)
- Supermodular ordering and stochastic annuities (Q1302132) (← links)
- Non-time additive utility optimization -- the case of certainty (Q1567179) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Optimal consumption choice with intertemporal substitution (Q1872451) (← links)
- A stochastic representation theorem with applications to optimization and obstacle problems. (Q1879876) (← links)
- On a stochastic differential equation arising in a price impact model (Q1940246) (← links)
- On a stochastic representation theorem for Meyer-measurable processes (Q2077325) (← links)
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact (Q2156348) (← links)
- Scaling limits for super-replication with transient price impact (Q2174997) (← links)
- Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment (Q2240480) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- A model for a large investor trading at market indifference prices. I: Single-period case (Q2339125) (← links)
- On Gittins' index theorem in continuous time (Q2642040) (← links)
- Optimal Order Scheduling for Deterministic Liquidity Patterns (Q2940756) (← links)
- Optimal Control under a Dynamic Fuel Constraint (Q3427531) (← links)
- (Q3562500) (← links)
- (Q4429136) (← links)
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader (Q4464010) (← links)
- Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636) (← links)
- Optimal Investment with Transient Price Impact (Q4971979) (← links)
- Short Communication: A Note on Utility Indifference Pricing with Delayed Information (Q4988553) (← links)
- Merton's Optimal Investment Problem with Jump Signals (Q5045202) (← links)
- (Q5706100) (← links)
- An affine property of the reciprocal Asian option process (Q5939263) (← links)
- Exponential functionals of Brownian motion and related processes (Q5940715) (← links)
- Existence and structure of stochastic equilibria with intertemporal substitution (Q5957682) (← links)
- Liquidity in competitive dealer markets (Q6054365) (← links)
- Optimal investment with a noisy signal of future stock prices (Q6190919) (← links)
- Stochastic Control with Signatures (Q6731220) (← links)
