The following pages link to Mark H. A. Davis (Q470652):
Displaying 50 items.
- Taming animal spirits: risk management with behavioural factors (Q470654) (← links)
- (Q579103) (redirect page) (← links)
- The martingale maximum principle and the allocation of labour surplus (Q579105) (← links)
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk (Q748309) (← links)
- Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran (Q760404) (← links)
- Optimal investment under partial information (Q966433) (← links)
- Approximations for optimal stopping of a piecewise-deterministic process (Q1111525) (← links)
- Strong consistency of the PLS criterion for order determination of autoregressive processes (Q1122273) (← links)
- Impulse control of piecewise-deterministic processes (Q1122552) (← links)
- Stochastic control by measure transformation: A general existence result (Q1149937) (← links)
- Factorization of a multiplicative functional of nonlinear filtering theory (Q1158129) (← links)
- The multiplicity of an increasing family of \(\sigma\)-fields (Q1211789) (← links)
- A pair of explicitly solvable singular stochastic control problems (Q1273450) (← links)
- A problem of singular stochastic control with discretionary stopping (Q1327614) (← links)
- The writing price of a European contingent claim under proportional transaction costs (Q1340717) (← links)
- (Q1381486) (redirect page) (← links)
- A note on the forward measure (Q1381487) (← links)
- Pathwise stochastic calculus with local times (Q1635956) (← links)
- Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling (Q1808218) (← links)
- A note on utility-based pricing (Q2351402) (← links)
- A note on utility-based pricing in models with transaction costs (Q2351403) (← links)
- Negative Libor rates in the swap market model (Q2463709) (← links)
- Jump-diffusion asset-liability management via risk-sensitive control (Q2516637) (← links)
- Verification of internal risk measure estimates (Q2520725) (← links)
- Information states for linear stochastic systems (Q2540159) (← links)
- Malliavin Monte Carlo Greeks for jump diffusions (Q2576959) (← links)
- (Q2722587) (← links)
- (Q2741101) (← links)
- (Q2762115) (← links)
- Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model (Q2840144) (← links)
- Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation (Q2920961) (← links)
- ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (Q2927953) (← links)
- Risk-Sensitive Investment Management (Q2929576) (← links)
- A Beaufort Scale of Predictability (Q2956063) (← links)
- Risk-sensitive investment in a finite-factor model (Q2974857) (← links)
- (Q3015751) (← links)
- (Q3026689) (← links)
- Recursive order estimation of stochastic control systems (Q3033666) (← links)
- Complete–market models of stochastic volatility (Q3043424) (← links)
- Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (Q3074984) (← links)
- Impulse Control of Multidimensional Jump Diffusions (Q3083266) (← links)
- A new order estimation technique for time series modeling (Q3129387) (← links)
- (Q3136505) (← links)
- (Q3345509) (← links)
- (Q3348845) (← links)
- THE RANGE OF TRADED OPTION PRICES (Q3446056) (← links)
- On the Minimum Principle for Controlled Diffusions on Manifolds (Q3472034) (← links)
- Anticipative LQG Control (Q3474582) (← links)
- Risk-sensitive benchmarked asset management (Q3518381) (← links)
- Market completion using options (Q3534746) (← links)
