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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Optionspreistheorie"
~subject:"Unvollkommener Markt"
~type:"article"
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Optionspreistheorie
Unvollkommener Markt
Portfolio selection
232
Portfolio-Management
232
Theorie
189
Theory
189
Stochastic process
43
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43
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37
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51
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Rogers, Leonard C. G.
2
Xia, Jianming
2
Yuen, Kam Chuen
2
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Arai, Takuji
1
Araújo, Aloísio Barboza de
1
Bank, Peter
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Scandinavian actuarial journal
International journal of theoretical and applied finance
38
Insurance / Mathematics & economics
35
Finance and stochastics
34
Journal of economic dynamics & control
27
Quantitative finance
19
Applied mathematical finance
14
European journal of operational research : EJOR
14
International journal of financial engineering
14
Journal of banking & finance
14
Journal of mathematical finance
14
Mathematics and financial economics
13
Annals of finance
10
Journal of risk and financial management : JRFM
10
Risks : open access journal
10
The journal of computational finance
10
The review of financial studies
10
Finance research letters
9
International review of financial analysis
8
Mathematical methods of operations research
8
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7
Review of derivatives research
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of derivatives : JOD
7
Astin bulletin : the journal of the International Actuarial Association
6
Journal of financial economics
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Mathematics of operations research
6
The European journal of finance
6
Applied economics letters
5
Computational Management Science : CMS
5
Economic theory : official journal of the Society for the Advancement of Economic Theory
5
Journal of economic theory
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Journal of international economics
5
Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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Risk and decision analysis
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The journal of finance : the journal of the American Finance Association
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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1
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang
;
Fan, Yahui
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2024
(
2024
)
4
,
pp. 361-382
Persistent link: https://www.econbiz.de/10014520551
Saved in:
2
Analytic valuation of GMDB options with utility based asset allocation
Ulm, Eric R.
- In:
Scandinavian actuarial journal
2022
(
2022
)
9
,
pp. 816-840
Persistent link: https://www.econbiz.de/10013419050
Saved in:
3
Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
Saved in:
4
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
Saved in:
5
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
Barigou, Karim
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2019
(
2019
)
2
,
pp. 163-187
Persistent link: https://www.econbiz.de/10012194944
Saved in:
6
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
Hieber, Peter
;
Natolski, Jan
;
Werner, Ralf
- In:
Scandinavian actuarial journal
2019
(
2019
)
6
,
pp. 478-507
Persistent link: https://www.econbiz.de/10012194965
Saved in:
7
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
8
On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
Saved in:
9
Valuing variable annuity guarantees on multiple assets
Fonseca, José da
;
Ziveyi, Jonathan
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
Saved in:
10
Optimal investment with intermediate consumption and random endowment
Mostovyi, Oleksii
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 96-114
Persistent link: https://www.econbiz.de/10011739444
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