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~isPartOf:"Journal of mathematical finance"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Martingal"
~subject:"Option pricing theory"
~subject:"Theorie"
~subject:"Transaktionskosten"
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Search: subject_exact:"Optimal control problem"
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Martingal
Option pricing theory
Theorie
Transaktionskosten
Control theory
35
Kontrolltheorie
35
Stochastic process
23
Stochastischer Prozess
23
Portfolio selection
21
Portfolio-Management
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Bender, Christian
2
Cadenillas, Abel
2
Dokučaev, Nikolaj G.
2
Muthuraman, Kumar
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Runggaldier, Wolfgang J.
2
Choulli, Tahir
1
Dai, Min
1
Evstigneev, Igor V.
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Pham, Huyên
1
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1
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1
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1
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Zong, Jianping
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Journal of mathematical finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
Journal of economic dynamics & control
28
CESifo working papers
10
American journal of agricultural economics
9
Macroeconomic dynamics
9
Mathematical methods of operations research
9
CoFE discussion papers
8
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
8
Mathematical control theory and finance
8
Journal of economic theory
7
Lecture notes in economics and mathematical systems : LNEMS
7
Natural resource modeling : the official journal of the Resource Modeling Association
7
Economics working paper series ...
6
Finance and stochastics
6
International journal of productivity and quality management : IJPQM
6
International journal of theoretical and applied finance
6
Kiel working paper
6
SSRI working paper
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SpringerLink / Bücher
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
6
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
5
Cooperative networks : control and optimization ; [6th International Conference on Cooperative Control and Optimization ... February 1 - 3, 2006 in Gainesville, Florida]
5
Diskussionsarbeit
5
Memorandum from Department of Economics, University of Oslo
5
Volkswirtschaftliche Diskussionsbeiträge
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Working paper / National Bureau of Economic Research, Inc.
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Bonn Econ Discussion Papers / BGSE
4
Discussion paper / Centre for Economic Policy Research
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Dynamic systems, economic growth, and the environment
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Journal of monetary economics
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Journal of risk and financial management : JRFM
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Memorandum / Department of Economics, University of Oslo
4
Risks : open access journal
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Working paper series
4
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4
Applied mathematical finance
3
Discussion paper / B
3
Economic theory : official journal of the Society for the Advancement of Economic Theory
3
Economics letters
3
Insurance / Mathematics & economics
3
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1
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
2
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
3
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
4
Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
Saved in:
5
Optimal investment and proportional reinsurance with risk constraint
Liu, Jingzhen
;
Yiu, Ka Fai Cedric
;
Loxton, Ryan C.
; …
- In:
Journal of mathematical finance
3
(
2013
)
4
,
pp. 437-447
Persistent link: https://www.econbiz.de/10010240806
Saved in:
6
Maximizing the growth rate under risk constraints
Pirvu, Traian A.
;
Žitković, Gordan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 423-455
Persistent link: https://www.econbiz.de/10003882789
Saved in:
7
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
Saved in:
8
A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
Saved in:
9
Liquidation of a large block of stock with regime switching
Pemy, Moustapha
;
Zhang, Qing
;
Yin, George
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 629-648
Persistent link: https://www.econbiz.de/10003769023
Saved in:
10
Simulation-based portfolio optimization for large portfolios with transaction costs
Muthuraman, Kumar
;
Zha, Haining
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 115-134
Persistent link: https://www.econbiz.de/10003643474
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