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Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624

Persistent link: https://www.econbiz.de/10010360497

Optimal investment and consumption for financial markets with jumps under transaction costs

Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159

Persistent link: https://www.econbiz.de/10014447608

Learning a functional control for high-frequency finance

Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987

Persistent link: https://www.econbiz.de/10013490928

Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion : An Numerical Impulse Control Approach

Dang, Duy-Minh - 2013

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

Persistent link: https://www.econbiz.de/10013084034

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454

Persistent link: https://www.econbiz.de/10011900577

Optimal boundary surface for irreversible investment with stochastic costs

De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161

Persistent link: https://www.econbiz.de/10011773311

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - 2016

A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost...

Persistent link: https://www.econbiz.de/10011517478

A stochastic control approach to option market making

El Aoud, Sofiene; Abergel, Frédéric - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10011588196