Pages that link to "Item:Q2797751"
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The following pages link to SIAM Journal on Financial Mathematics (Q2797751):
Displaying 50 items.
- Optimal Discretization of Hedging Strategies with Directional Views (Q2797752) (← links)
- Robust Utility Maximization without Model Compactness (Q2797753) (← links)
- Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs (Q2797754) (← links)
- A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim (Q2797756) (← links)
- A Correction Note for Price Dynamics in a Markovian Limit Order Market (Q2808182) (← links)
- A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA (Q2808183) (← links)
- Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming (Q2808184) (← links)
- A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185) (← links)
- The Critical Price of the American Put Near Maturity in the Jump Diffusion Model (Q2808186) (← links)
- Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach (Q2808243) (← links)
- Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
- BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk (Q2813078) (← links)
- Optimal Liquidation of an Asset under Drift Uncertainty (Q2813079) (← links)
- Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
- Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model (Q2819094) (← links)
- Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations (Q2819095) (← links)
- Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096) (← links)
- A Structural Jump Threshold Framework for Credit Risk (Q2819097) (← links)
- Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) (← links)
- General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
- A Closed-Form Execution Strategy to Target Volume Weighted Average Price (Q2832615) (← links)
- Price Dynamics in a Markovian Limit Order Market (Q2873118) (← links)
- Utility Maximization Trading Two Futures with Transaction Costs (Q2873119) (← links)
- Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (Q2873120) (← links)
- The Stability of the Constrained Utility Maximization Problem: A BSDE Approach (Q2873121) (← links)
- Large Deviations for a Mean Field Model of Systemic Risk (Q2873122) (← links)
- Why Are Quadratic Normal Volatility Models Analytically Tractable? (Q2873123) (← links)
- Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints (Q2873124) (← links)
- The Best Gain-Loss Ratio is a Poor Performance Measure (Q2873125) (← links)
- Risk-Minimization for Life Insurance Liabilities (Q2873126) (← links)
- Adjoint Expansions in Local Lévy Models (Q2873128) (← links)
- An Optimal Dividend and Investment Control Problem under Debt Constraints (Q2873129) (← links)
- Conditional Sampling for Barrier Option Pricing under the LT Method (Q2873131) (← links)
- Pricing and Hedging of Cliquet Options and Locally Capped Contracts (Q2873132) (← links)
- Inverting Analytic Characteristic Functions and Financial Applications (Q2873134) (← links)
- Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (Q2873135) (← links)
- Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage (Q2873136) (← links)
- Long-Term Optimal Investment with a Generalized Drawdown Constraint (Q2873137) (← links)
- Pricing Bermudan Options in Lévy Process Models (Q2873138) (← links)
- An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets (Q2873139) (← links)
- The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options (Q2873140) (← links)
- Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (Q2873141) (← links)
- Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time (Q2873142) (← links)
- Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes (Q2873143) (← links)
- Risk-Neutral Density Recovery via Spectral Analysis (Q2873144) (← links)
- Hedging Forward Positions: Basis Risk Versus Liquidity Costs (Q2873146) (← links)
- An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (Q2873147) (← links)
- On the Realized Risk of High-Dimensional Markowitz Portfolios (Q2873148) (← links)
- Stability in a Model of Interbank Lending (Q2873149) (← links)
- The Smile of Certain Lévy-Type Models (Q2873150) (← links)
