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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
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Algorithmic trading with learning
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10011523847
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Optimal control of an energy storage facility under a changing economic environment and partial information
Shardin, Anton A.; Szölgyenyi, Michaela - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011523933
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Market making and portfolio liquidation under uncertainty
Nyström, Kaj; Aly, Sidi Mohamed Ould; Zhang, Changyong - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10010437189
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A finite-horizon optimal investment and consumption problem using regime-switching models
Liu, Rui Hua - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10010391500
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Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667
Persistent link: https://www.econbiz.de/10009298518
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903