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Minimizing lifetime poverty with a penalty for bankruptcy
Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 156-167
Persistent link: https://www.econbiz.de/10011530945
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A scaling limit for utility indifference prices in the discretised Bachelier model
Cohen, Asaf; Dolinsky, Yan - In: Finance and stochastics 26 (2022) 2, pp. 335-358
Persistent link: https://www.econbiz.de/10013197588
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Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 93 (2020), pp. 333-340
Persistent link: https://www.econbiz.de/10012294139
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A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
Atar, Rami; Cohen, Asaf - In: Mathematics of operations research 41 (2016) 4, pp. 1354-1380
Persistent link: https://www.econbiz.de/10011595069
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Finite state mean field games with Wright-Fisher common noise as limits of N-player weighted games
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; … - In: Mathematics of operations research 47 (2022) 4, pp. 2840-2890
Persistent link: https://www.econbiz.de/10014311391
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Quantum-inspired variational algorithms for partial differential equations : application to financial derivative pricing
Zhao, Tianchen; Sun, Chuhao; Cohen, Asaf; Stokes, James; … - In: Quantitative finance 24 (2024) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10014551890