Pages that link to "Item:Q2725292"
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The following pages link to Martingales versus PDEs in finance: an equivalence result with examples (Q2725292):
Displaying 50 items.
- Distribution of the time to explosion for one-dimensional diffusions (Q267030) (← links)
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Existence of financial equilibria in continuous time with potentially complete markets (Q392665) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- Continuous-time perpetuities and time reversal of diffusions (Q503390) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes (Q558663) (← links)
- No arbitrage conditions for simple trading strategies (Q666439) (← links)
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan (Q939338) (← links)
- The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
- On optimal arbitrage (Q990375) (← links)
- Volatility time and properties of option prices (Q1425480) (← links)
- The spectral expansion approach to index transforms and connections with the theory of diffusion processes (Q1660060) (← links)
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes (Q1666165) (← links)
- Optimal investment and risk control for an insurer with stochastic factor (Q1728224) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Number of paths versus number of basis functions in American option pricing (Q1769425) (← links)
- Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832) (← links)
- Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition (Q2120590) (← links)
- Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives (Q2198168) (← links)
- Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
- Consumption in incomplete markets (Q2308177) (← links)
- Unit-linked life insurance policies: optimal hedging in partially observable market models (Q2404551) (← links)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model (Q2406299) (← links)
- Optimal proportional reinsurance and investment for stochastic factor models (Q2421393) (← links)
- Mean-variance portfolio selection for a non-life insurance company (Q2472194) (← links)
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
- A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices (Q2661755) (← links)
- OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION (Q2929387) (← links)
- Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process (Q3077724) (← links)
- Option pricing in a CEV model with liquidity costs (Q3178199) (← links)
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286) (← links)
- The pricing of derivatives on assets with quadratic volatility (Q4551199) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- A variance reduction technique based on integral representations (Q4646798) (← links)
- Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
- PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
- HEDGING UNDER ARBITRAGE (Q4917300) (← links)
- Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
- Probabilistic analysis of replicator–mutator equations (Q5066877) (← links)
- Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (Q5108226) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- Indifference pricing of pure endowments via BSDEs under partial information (Q5140641) (← links)
- Exit Problems as the Generalized Solutions of Dirichlet Problems (Q5232228) (← links)
- Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
- Now decision theory (Q6064078) (← links)
