Pages that link to "Item:Q380475"
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The following pages link to Optimal portfolio in a continuous-time self-exciting threshold model (Q380475):
Displaying 7 items.
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin (Q2031384) (← links)
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market (Q2397849) (← links)
- Optimal stochastic investment games under Markov regime switching market (Q2438402) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model (Q5866092) (← links)
