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A tale of two debt crises : a stochastic optimal control analysis

Stein, Jerome L. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003641668

Optioned portfolio selection : models and analysis

Liang, Jianfeng; Zhang, Shuzhong; Li, Duan - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 569-593

Persistent link: https://www.econbiz.de/10003769015

Guaranteed minimum withdrawal benefit in variable annuities

Dai, Min; Kwok, Yue-Kuen; Zong, Jianping - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 595-611

Persistent link: https://www.econbiz.de/10003769016

A model of optimal consumption under liquidity risk with random trading times

Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-627

Persistent link: https://www.econbiz.de/10003769020

Liquidation of a large block of stock with regime switching

Pemy, Moustapha; Zhang, Qing; Yin, George - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 629-648

Persistent link: https://www.econbiz.de/10003769023

Multidimensional portfolio optimization with proportional transaction costs

Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335

Persistent link: https://www.econbiz.de/10003325969

Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm

Cadenillas, Abel; Choulli, Tahir; Taskar, Michael; … - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 181-202

Persistent link: https://www.econbiz.de/10003336870

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10003807893

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

United States current account deficits : a stochastic optimal control analysis

Stein, Jerome L. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003377247