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Stochastic mortality models: an infinite-dimensional approach
Tappe, Stefan; Weber, Stefan - In: Finance and stochastics 18 (2014) 1, pp. 209-248
Persistent link: https://www.econbiz.de/10010235453
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Pseudo linear pricing rule for utility indifference valuation
Henderson, Vicky; Liang, Gechun - In: Finance and stochastics 18 (2014) 3, pp. 593-615
Persistent link: https://www.econbiz.de/10010395991
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Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
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Consumption-investment optimization with Epstein-Zin utility in incomplete markets
Xing, Hao - In: Finance and stochastics 21 (2017) 1, pp. 227-262
Persistent link: https://www.econbiz.de/10011944363
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich; Xia, Xiaonyu - In: Finance and stochastics 23 (2019) 4, pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399