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International Conference on Stochastic Programming <15., 2019, Trondheim>
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ECONIS (ZBW)
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1
Optimal investment strategies for general utilities under dynamic elasticity of variance models
Li, Wenyuan
;
Ma, Jingtang
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1379-1388
Persistent link: https://www.econbiz.de/10011911546
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2
Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan
;
Kampen, Joerg
;
Navratil, Robert
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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3
A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan
;
Korobenko, Lyudmila
;
Sezer, A. Deniz
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
Saved in:
4
Deep differentiable reinforcement learning and optimal trading
Jaisson, Thibault
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1429-1443
Persistent link: https://www.econbiz.de/10013367918
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5
Stable dividends under linear-quadratic optimisation
Avanzi, B.
;
Falden, Debbie Kusch
;
Steffensen, Mogens
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1199-1215
Persistent link: https://www.econbiz.de/10014339901
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6
Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
;
Zhu, Song-Ping
;
Elliott, Robert J.
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
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7
Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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8
The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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9
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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10
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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