Pages that link to "Item:Q2707148"
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The following pages link to Pricing Via Utility Maximization and Entropy (Q2707148):
Displaying 50 items.
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case (Q255489) (← links)
- Numerical simulation of quadratic BSDEs (Q259576) (← links)
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083) (← links)
- Interest rates risk-premium and shape of the yield curve (Q316908) (← links)
- Density analysis of BSDEs (Q317487) (← links)
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (Q373548) (← links)
- Forward-backward systems for expected utility maximization (Q401458) (← links)
- Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
- BSDEs in utility maximization with BMO market price of risk (Q429302) (← links)
- Consumption utility-based pricing and timing of the option to invest with partial information (Q431904) (← links)
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition (Q444352) (← links)
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities (Q492168) (← links)
- On dynamic programming equations for utility indifference pricing under delta constraints (Q534745) (← links)
- Indifference valuation in incomplete binomial models (Q613732) (← links)
- Risk-averse asymptotics for reservation prices (Q635966) (← links)
- Exponential utility maximization under partial information (Q650760) (← links)
- Utility indifference valuation for jump risky assets (Q651335) (← links)
- Quantile hedging for guaranteed minimum death benefits (Q659169) (← links)
- 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (Q660368) (← links)
- Risk measure pricing and hedging in incomplete markets (Q665707) (← links)
- Density analysis of non-Markovian BSDEs and applications to biology and finance (Q681991) (← links)
- Backward stochastic dynamics on a filtered probability space (Q717884) (← links)
- Dynamic valuation of options on non-traded assets and trading strategies (Q741862) (← links)
- Existence and uniqueness of martingale solutions to option pricing equations with noise (Q831331) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- Convergence of utility indifference prices to the superreplication price (Q857825) (← links)
- Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
- Pricing and hedging in the presence of extraneous risks (Q885263) (← links)
- Dynamic risk measures: Time consistency and risk measures from BMO martingales (Q928502) (← links)
- Vector majorization and a robust option replacement trading strategy (Q931422) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- An analytical characterization for an optimal change of Gaussian measures (Q955485) (← links)
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683) (← links)
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) (← links)
- Maximal inequalities for \(g\)-martingales (Q1017811) (← links)
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) (← links)
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) (Q1408118) (← links)
- Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) (← links)
- A stability result for the HARA class with stochastic interest rates. (Q1423345) (← links)
- Equal risk pricing under convex trading constraints (Q1655628) (← 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)
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
- Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
- Utility based optimal hedging in incomplete markets. (Q1872394) (← links)
- Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
- Recursiveness of indifference prices and translation-invariant preferences (Q1932524) (← links)
