The following pages link to Finance and Stochastics (Q135345):
Displaying 50 items.
- Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214) (← links)
- Existence of an endogenously complete equilibrium driven by a diffusion (Q486924) (← links)
- Risk measures for processes and BSDEs (Q486926) (← links)
- Multi-portfolio time consistency for set-valued convex and coherent risk measures (Q486928) (← links)
- Portfolio optimization with insider's initial information and counterparty risk (Q486930) (← links)
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932) (← links)
- Optimal investment and price dependence in a semi-static market (Q486934) (← links)
- Robust price bounds for the forward starting straddle (Q486935) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- Continuous-time perpetuities and time reversal of diffusions (Q503390) (← links)
- Arbitrage-free pricing of multi-person game claims in discrete time (Q503392) (← links)
- Watermark options (Q503393) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- Market completion with derivative securities (Q503398) (← links)
- Model uncertainty and the pricing of American options (Q503400) (← links)
- On time-inconsistent stochastic control in continuous time (Q522052) (← links)
- Hedging under multiple risk constraints (Q522054) (← links)
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Change of numeraire in the two-marginals martingale transport problem (Q522059) (← links)
- The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- Local risk-minimization for Barndorff-Nielsen and Shephard models (Q522068) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? (Q650754) (← links)
- On measuring nonlinear risk with scarce observations (Q650755) (← links)
- Asymptotic distribution of law-invariant risk functionals (Q650758) (← links)
- Exponential utility maximization under partial information (Q650760) (← links)
- Representation of the penalty term of dynamic concave utilities (Q650761) (← links)
- Perturbed Brownian motion and its application to Parisian option pricing (Q650763) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
- A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation (Q650771) (← links)
- On optimal portfolio diversification with respect to extreme risks (Q650773) (← links)
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs (Q650775) (← links)
- Continuous-time trading and the emergence of probability (Q693028) (← links)
- Model-independent hedging strategies for variance swaps (Q693029) (← links)
- Market viability via absence of arbitrage of the first kind (Q693030) (← links)
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles (Q693031) (← links)
- Polynomial processes and their applications to mathematical finance (Q693032) (← links)
- The fundamental theorem of asset pricing under transaction costs (Q693033) (← links)
- Horizon dependence of utility optimizers in incomplete models (Q693036) (← links)
- Conditional Davis pricing (Q784731) (← links)
- Adapted Wasserstein distances and stability in mathematical finance (Q784732) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
- Realised volatility and parametric estimation of Heston SDEs (Q784737) (← links)
- Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (Q784739) (← links)
- Time reversal and last passage time of diffusions with applications to credit risk management (Q784742) (← links)
