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CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; … - In: Mathematical Finance 16 (2006) 1, pp. 181-202

Persistent link: https://www.econbiz.de/10005193383

A martingale representation theorem and valuation of defaultable securities

Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle - In: Mathematical Finance 30 (2020) 4, pp. 1527-1564

Persistent link: https://www.econbiz.de/10012283189

MORE ON MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE

Choulli, Tahir; Stricker, Christophe - In: Mathematical Finance 16 (2006) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10005139699

MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

Choulli, Tahir; Stricker, Christophe - In: Mathematical Finance 15 (2005) 3, pp. 465-490

Persistent link: https://www.econbiz.de/10005139711

A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT

Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R. - In: Mathematical Finance 17 (2007) 4, pp. 477-485

Persistent link: https://www.econbiz.de/10005023772

EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

Sotomayor, Luz Rocío; Cadenillas, Abel - In: Mathematical Finance 19 (2009) 2, pp. 251-279

Persistent link: https://www.econbiz.de/10005023780

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR

Cadenillas, Abel; Sarkar, Sudipto; Zapatero, Fernando - In: Mathematical Finance 17 (2007) 1, pp. 81-109

Persistent link: https://www.econbiz.de/10005655261

Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves

Cadenillas, Abel; Zapatero, Fernando - In: Mathematical Finance 10 (2000) 2, pp. 141-156

We consider the problem of a Central Bank that wants the exchange rate to be as close as possible to a given target, and in order to do that uses both the interest rate level and interventions in the foreign exchange market. We model this as a mixed classical-impulse stochastic control problem,...

Persistent link: https://www.econbiz.de/10008609916