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Optimal consumption and investment under transaction costs*

Hobson, David; Tse, Alex S. L.; Zhu, Yeqi - In: Mathematical Finance 29 (2018) 2, pp. 483-506

Persistent link: https://www.econbiz.de/10012095159

An elementary approach to the Merton problem

Herdegen, Martin; Hobson, David; Jerome, Joseph - In: Mathematical Finance 31 (2021) 4, pp. 1218-1239

Persistent link: https://www.econbiz.de/10012538290

Comparison results for stochastic volatility models via coupling

Hobson, David - 2010

The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical exponential Brownian motion model carry over to a stochastic volatility setting. The properties of the classical...

Persistent link: https://www.econbiz.de/10009468831

Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Gambling in contests with regret

Feng, Han; Hobson, David G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 674-695

Persistent link: https://www.econbiz.de/10011583789

Robust bounds for the American put

Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395

Persistent link: https://www.econbiz.de/10012023741

A multi-asset investment and consumption problem with transaction costs

Hobson, David G.; Tse, Alex S. L.; Zhu, Yeqi - In: Finance and stochastics 23 (2019) 3, pp. 641-676

Persistent link: https://www.econbiz.de/10012023758

Probability weighting, stop-loss and the disposition effect

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 178 (2018), pp. 360-397

Persistent link: https://www.econbiz.de/10012026410

Model uncertainty and the pricing of American options

Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329

Persistent link: https://www.econbiz.de/10011944370

Randomized strategies and prospect theory in a dynamic context

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 168 (2017), pp. 287-300

Persistent link: https://www.econbiz.de/10011747490