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CGMY-KoBol and VG processes
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HJB PDE
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Mathematical programming
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Mathematische Optimierung
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Optimal trading
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Option pricing in exponential Lévy models
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arrival price
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implementation shortfall
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Applied mathematical finance
Mathematics and Computers in Simulation (MATCOM)
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2013 Annual Meeting, August 4-6, 2013, Washington, D.C.
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A Radial Basis Function scheme for option pricing in exponential Lévy models
Brummelhuis, Raymond
;
Chan, Ron T. L.
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 238-269
Persistent link: https://www.econbiz.de/10010499707
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Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies
Tse, S. T.
;
Forsyth, Peter A.
;
Kennedy, J. S.
;
Windcliff, H.
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 415-449
Persistent link: https://www.econbiz.de/10010235600
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