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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
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Weakly time consistent concave valuations and their dual representations
Roorda, Berend; Schumacher, Johannes M. - In: Finance and stochastics 20 (2016) 1, pp. 123-151
Persistent link: https://www.econbiz.de/10011460026
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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873
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Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79
Persistent link: https://www.econbiz.de/10014447575