Narrow search
Showing 1 - 10 of 344
Cover Image
Swing options in commodity markets : a multidimensional Lévy diffusion model
Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg - In: Mathematical methods of operations research 79 (2014) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10010347962
Cover Image
Super-replication under proportional transaction costs : from discrete to continuous-time models
Touzi, Nizar - In: Mathematical methods of operations research 50 (1999) 2, pp. 297-320
Persistent link: https://www.econbiz.de/10001428812
Cover Image
A unified approach to portfolio optimization with linear transaction costs
Zakamouline, Valeri I. - In: Mathematical methods of operations research 62 (2005) 2, pp. 319-343
Persistent link: https://www.econbiz.de/10003226181
Cover Image
Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers
Temme, Johannes P. - In: Mathematical methods of operations research 76 (2012) 1, pp. 21-41
Persistent link: https://www.econbiz.de/10009571220
Cover Image
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Cover Image
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
Cover Image
A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel; Djehiche, Boualem - In: Mathematical methods of operations research 72 (2010) 2, pp. 273-310
Persistent link: https://www.econbiz.de/10008696632
Cover Image
Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
Cover Image
SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang; Pang, Li-Ping; Ma, Xue-Fei; Li, Dan - In: Mathematical methods of operations research 84 (2016) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
Cover Image
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528