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Mathematical Finance
Energy economics
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International journal of theoretical and applied finance
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Applied Mathematical Finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Finance and Stochastics
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IMA journal of management mathematics
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Trading co-integrated assets with price impact
Cartea, Álvaro
;
Gan, Luhui
;
Jaimungal, Sebastian
- In:
Mathematical Finance
29
(
2018
)
2
,
pp. 542-567
Persistent link: https://www.econbiz.de/10012095153
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2
Hedging nontradable risks with transaction costs and price impact
Cartea, Álvaro
;
Donnelly, Ryan
;
Jaimungal, Sebastian
- In:
Mathematical Finance
30
(
2020
)
3
,
pp. 833-868
Persistent link: https://www.econbiz.de/10012283196
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3
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Benth, Fred Espen
;
Nunno, Giulia Di
;
Løkka, Arne
; …
- In:
Mathematical Finance
13
(
2003
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10005294278
Saved in:
4
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen
;
Karlsen, Kenneth Hvistendahl
; …
- In:
Mathematical Finance
13
(
2003
)
2
,
pp. 215-244
Persistent link: https://www.econbiz.de/10005139673
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