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Explicit representations for utility indifference prices
Hess, Markus
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
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Càdlàg
semimartingale
strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
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Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
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pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps
Perera, Sandun
;
Buckley, Winston
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
8
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pp. 877-885
Persistent link: https://www.econbiz.de/10011794501
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An approximation scheme for impulse control with random reaction periods
Perera, Sandun
;
Long, Hongwei
- In:
Operations research letters
45
(
2017
)
6
,
pp. 585-591
Persistent link: https://www.econbiz.de/10011782985
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Stochastic impulse control with regime-switching dynamics
Korn, Ralf
;
Melnyk, Yaroslav
;
Seilfried, Frank Thomas
- In:
European journal of operational research : EJOR
260
(
2017
)
3
,
pp. 1024-1042
Persistent link: https://www.econbiz.de/10011714277
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7
Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
Wu, Jinbiao
- In:
Mathematical methods of operations research
89
(
2019
)
2
,
pp. 257-280
Persistent link: https://www.econbiz.de/10012010370
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8
Classical and restricted impulse control for the exchange rate under a stochastic trend model
Runggaldier, Wolfgang J.
;
Yasuda, Kazuhiro
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 369-390
Persistent link: https://www.econbiz.de/10011974210
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9
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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A new class of discrete-time stochastic volatility model with correlated errors
Mukhoti, Sujay
;
Ranjan, Pritam
- In:
Applied economics
51
(
2019
)
3
,
pp. 259-277
Persistent link: https://www.econbiz.de/10012160495
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