Pages that link to "Item:Q751951"

The following pages link to Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951):

Displaying 35 items.

• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722) (← links)
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market (Q538272) (← links)
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem (Q691358) (← links)
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents (Q956451) (← links)
• Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
• Pricing options on securities with discontinuous returns (Q1313131) (← links)
• Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty (Q1350670) (← links)
• On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
• Stochastic time changes in catastrophe option pricing (Q1381450) (← links)
• Stability for multidimensional jump-diffusion processes (Q1593618) (← links)
• Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
• Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
• A stochastic maximum principle for systems with jumps, with applications to finance. (Q1853443) (← links)
• A partial introduction to financial asset pricing theory. (Q1879511) (← links)
• An approximation of American option prices in a jump-diffusion model (Q1915843) (← links)
• Stability of backward stochastic differential equations (Q1915848) (← links)
• Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes (Q1926753) (← links)
• Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
• Portfolio selection: a review (Q2247913) (← links)
• Dynamic asset allocation with loss aversion in a jump-diffusion model (Q2355373) (← links)
• Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process'' (Q2460044) (← links)
• Obstacle problem for nonlinear integro-differential equations arising in option pricing (Q2467933) (← links)
• Portfolio optimization in a defaultable Lévy-driven market model (Q2516636) (← links)
• Comparison of insiders' optimal strategies depending on the type of side-information (Q2568298) (← links)
• Minimization of shortfall risk in a jump-diffusion model (Q2568328) (← links)
• Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market (Q2665873) (← links)
• Sufficient Poisson jump diffusion market models revisited (Q2759032) (← links)
• Government Debt Control: Optimal Currency Portfolio and Payments (Q2795864) (← links)
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor (Q3080993) (← links)
• STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING (Q3523537) (← links)
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS (Q3523573) (← links)
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model (Q3617309) (← links)
• Optimal Consumption‐Portfolio Policies With Habit Formation¹ (Q4345934) (← links)
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
• A defined benefit pension plan game with Brownian and Poisson jumps uncertainty (Q6168580) (← links)