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~isPartOf:"Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz"
~person:"Crépey, Stéphane"
~person:"Kohlmann, Michael"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Control theory
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Kontrolltheorie
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Stochastic process
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backward stochastic differential equation
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Hedging
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Option pricing theory
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Crépey, Stéphane
Kohlmann, Michael
Tang, Shanjian
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Leitner, Johannes
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
CoFE discussion papers
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael
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2000
Persistent link: https://www.econbiz.de/10001475180
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2
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475182
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3
Recent advances in backward stochastic Riccati equations and their applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Persistent link: https://www.econbiz.de/10014378819
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4
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
Kohlmann, Michael
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2000
Persistent link: https://www.econbiz.de/10014378821
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5
Multi-dimensional backward stochastic Riccati equations, and applications
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10014378822
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