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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Journal of economic dynamics & control
70
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62
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56
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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
Liquidation in limit order books with controlled intensity
Bayraktar, Erhan
;
Ludkovski, Michael
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
Saved in:
3
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:
4
General intensity shapes in optimal liquidation
Guéant, Olivier
;
Lehalle, Charles-Albert
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
Saved in:
5
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
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6
Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 401-437
Persistent link: https://www.econbiz.de/10011752503
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7
Optimal execution of a VWAP order : a stochastic control approach
Frei, Christoph
;
Westray, Nicholas
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 612-639
Persistent link: https://www.econbiz.de/10011350559
Saved in:
8
Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
Saved in:
9
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:
10
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
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