scientific article
From MaRDI portal
Publication:3160497
zbMath1055.62113MaRDI QIDQ3160497
Michael Ludkovski, René A. Carmona
Publication date: 9 February 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (8)
A maximum principle for controlled stochastic factor model ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Mean-variance hedging with oil futures ⋮ Optimal trading of a basket of futures contracts ⋮ VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK ⋮ Seasonal and stochastic effects in commodity forward curves ⋮ OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK ⋮ A simulation approach to optimal stopping under partial information
This page was built for publication:
