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On the constant elasticity of variance model for the utility maximization problem with multiple risky assets

Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320

Persistent link: https://www.econbiz.de/10011723286

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

Numerical analysis on local risk-minimization for exponential Lévy models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011454349

Optimal consumption and investment with labor income and European/American capital guarantee

Kronborg, Morten Tolver - In: Risks : open access journal 2 (2014) 2, pp. 171-194

We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...

Persistent link: https://www.econbiz.de/10010399774

Defaultable term structures driven by semimartingales

Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27

Persistent link: https://www.econbiz.de/10012807871

Hedging derivatives on two assets with model risk

Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10012222377

Approximate indifference pricing in exponential Lévy models

Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235

Persistent link: https://www.econbiz.de/10011704228

Fair valuation of insurance liability cash-flow streams in continuous time : applications

Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 299-333

Persistent link: https://www.econbiz.de/10012056592

No-arbitrage and hedging with liquid American options

Bayraktar, Erhan; Zhou, Zhou - In: Mathematics of operations research 44 (2019) 2, pp. 468-486

Persistent link: https://www.econbiz.de/10012028629

On the market viability under proportional transaction costs

Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838

Persistent link: https://www.econbiz.de/10011969083

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